Blueprint Shape components have a Shape Material property that can be set in its Details or via Get and Set functions in the Event Graph. These are never displayed in the viewport or during runtime regardless of settings.
It doesn't seem like these are supposed to have Material settings.
1. Launch: UE4Editor.exe (any project)
2. Create a new Actor Blueprint
3. Add a Box component
4. In the Details panel, give it a Shape Material
5. Disable Hidden in Game
6. Drag the BP into the level
The box appears in the level without a material.
Head over to the existing Questions & Answers thread and let us know what's up.