Even with the “Editable when Inherited” flag set in the blueprint class static mesh component, the BP instance collision preset cannot be set to one different from the BP class collision preset. The issue is well described in the UDN case and also a video and some pictures are provided.
Also the UDN customer and the UDN partner have found the possible cause of this bug which is also discussed in the UDN post answers, with the UDN customer implementing one possible workaround with some undesirable side effects.
The preset stays on what's set in the blueprint.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-192376 in the post.