If the user has a skeletal mesh component with no skeletal mesh assigned to it, there will be no Anim to Play setting visible (when Animation Mode is set to Use Animation Asset). Once a skeletal mesh is assigned, the setting is made visible. This gives the impression that the setting is missing entirely.
With no skeletal mesh set to the component, there is no Anim to Play setting.
If a setting is not usable, it should be grayed out and not editable. Or maybe have a message letting the user know that no mesh is assigned to the component.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-35537 in the post.