Okay, so I found that linking Montages isn’t always a clean process, but here’s how to get around it:
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Create an ANIM NOTIFY that will trigger BEFORE the BLEND OUT is fired. This is because the animation is considered INACTIVE during that blending phase, and once the phase is over, the Animation Blueprint will attempt to take over even if you technically have another Montage playing.
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OR (and this is less precise) you can place a DELAY that finished BEFORE the BLEND OUT is fired, that leads directly to the next Montage.
(Make sure you use the top output, because it fires immediately.)