Render Custom Depth Doesn't Work For Procedural Mesh

I’m trying to use the Custom Depth layer to apply an object selection outline. It works fine for static meshes, which have a diffuse material. However it doesn’t work for procedural mesh components. I added code inside the C++ constructor itself to set the bRenderCustomDepth to true, also tried the ProceduralLatheActor from the procedural examples, still no dice.

Is this a bug? Or am I doing it wrong?