We have a delegate for Montage_GetBlendingOutDelegate, but not one for OnMontageEnded.
Source UDN: [Link Removed]
Try to get/query the a OnMontageEnded delegate in C++ similary to how you can query OnMontageBlendingOut and you will see that OnMontageEnded is not exposed.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-181069 in the post.