UProceduralMeshComponent makes no collision mesh in 5.3

In 5.3 I make my procedural mesh. It’s all fine except that it has no collisions whatsoever.
It’s not baked with bUseComplexAsSimpleCollision (no matter bUseAsyncCooking). I do set bCreateCollision to true in CreateMeshSection.
It’s not baked through SetCollisionConvexMeshes.
It’s just never baked whatever I do.
I am using UProceduralMeshComponent descendant (just one field added) created with NewObject, otherwise it’s as simple setup as it can be.
Create UProceduralMeshComponent, attach to the Actor, call CreateMeshSection, that’s it. Mesh is fine and visible. And no collisions created. What am I missing here?