What's the correct way to use/initialize UObjects?

I think i understand what you said, but i don’t think i know how to get it working.
I’ll provide further explanation about my project.
Basically, i’ll have a DlgComponent that’ll handle dialogue. Since i’ve found some problems right on the beginning, there’s not much on it.
There’s the UDialogue class, that is the UObject for the tree node. So far the object contains only a FString and a Next node(pretty much a list, because, well, if i can’t get a list working i won’t get a tree working). The DlgComponent is being initialized without a problem on the Actor that owns it(I Have a fully working magic component aswell, and i’m initializing the DlgComponent the same way, so i wouldn’t think there’s a problem here), and i’m trying to initialize the DlgRoot(The object i’m having problem with) on the DlgComponent, using the code on the OP.
Wouldn’t that mean that the object is actively owned by an active object, the actor/component?