The Socket Snapping level editor action no longer works in 4.19/4.20, it worked in 4.18 but regressed. It still attaches but it's set to maintain it's world position, so it doesn't actually snap.
This broke in CL #3692526 from AnimPhys. ParentActors used to snap if a socket was selected, which is depended on by ClickLevelSocket. There should probably be an option to ParentActors saying rather to snap, instead of changing the default one way or the other
The work around is to use socket snapping, then manually reset the relative location/rotation to snap it, but this is much slower than the old method
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-59094 in the post.