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Got bitten by this too (4.7.6).
If you are using a series of spline mesh components, you are probably turning collisions off for performance in the editor (recalcs every collision mesh on spline while dragging ouch) and turning them back on in BeginPlay().
It appears there is a bug / feature deep in the serialization code that fails to serialize collisions for meshes that don’t currently have collisions enabled (UStaticMesh::ContainsPhysicsTriMeshData).
My workaround was overriding UObject::PreSave() for my spline mesh component container class to temporally turn all collisions back on ( #if WITH_EDITOR). BeginPlay() and Tick() turn on sections of the mesh only around the player.
Remember that you will have to fix the code, launch the editor and rebake to reserialize the fix in game…