By Design. This is consistent with BP editor. Marking them as static would make it harder to move them at runtime without knowing about the mobility settings. The fact that static mesh actors are static by default is an optimization because we still expect that the majority of a level will be static meshes
I've noticed when adding another static mesh component to a static mesh instance in the level that it always starts off Movable, even when the parent is static.
I would expect the child to be based off the Parent.
Results: The mobility is set to movable by defaut
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-8255 in the post.