What am I missing?

Have you checked “actor class attachment infos” in the PrimalItemArmor BPs? There is a field for attaching a skeletal mesh component, though having no experience with these things, I’m not sure how exactly it works. It would appear that the skeleton to use is pre-defined in the meshes themselves.
Just in case, the meshes themselves can be found in PrimalEarth\Human\Male (or Female)\Outfits