The Spline Component API in Unreal is a very fat one with lots of methods in it, and it's not entirely clear how to use it at first glance. Like creating a Data Asset Instance, it's a question that crops up and doesn't always get seem to be answered. After a brief bit of experimentation I found it's much easier than it fist appears. Essentially the only function you actually need is AddSplinePointAtIndex(InPoint, AddIdx, ESplineCoordinateSpace::Local);
The main snag with the code below is the fact it's compiled into a game module rather than an editor module and the viewport is not updated when the component is attached to the actor. If you are in editor code, GEditor->RedrawLevelEditingViewports(true); should update the viewport for you, but this won't link in a game module, obviously.