I was still stuck on this for ages, For anyone else who may encounter the same issue this is how I managed to work out what was going wrong with mine.
I was using a Normal Notify in the animation timeline and this was not triggering the On Notify Begin in the Play Montage Node, But when I changed to use a Montage Notify this worked and caused the On Notify Begin node to trigger as expected.
So I guess the tip is to make sure you are using the right type of montage trigger notification in your timeline. xD