If specific Physics Bodies need differing Physical Materials, you can then adjust them individually.
Enable Body Edit Mode in the Physics Asset Tool.
Select a Physics Body.
In the Details pane, in the Physics Category, change the Simple Collision Physical Material.
The default behavior for Physics interactions with Skeletal Meshes is to only interact with its associated Physics Asset, so the Skeletal Mesh's material's Physical Material will
not be used.
With Physics Assets, though you are setting the Simple Collision Physical Material, when you trace against a Physics Asset, you will need to do a complex trace and the complex trace
will return the Physical Material listed in the Simple Collision Physical Material property of the hit Physics Body.