Catching the exception with debugger allowed us to find a list of materials on the hlod mesh on which the error occured and we were then able to link it to one of our meshes causing the error.
What we discovered is that this mesh had been assigned 2 materials instances inheriting from the same material and that, by mistake, had all the same parameters.
Assigning proper and distinct parameters on the materials allows us to complete the HLOD build.
Of course, having 2 materials instances sharing identicals parameters is not a proper use-case, but it only seems to be detrimental when building HLOD and, even then, the error is far from explicit regarding its root cause.
See the attached project from the licensee in UDN.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-201699 in the post.