Even if some minor adjustments are still needed and the setup has many limitations, what I was trying to achieve, has been achieved. I'll describe how this work as closely as possible. I want to use this simulation as a core mechanic of my game, so I created an infrastructure that allow me to reproduce the simulation on any character in the game, yet is currently very dirty and written in blueprints, so I will explain only the Unreal Engine 4 Components, it's better you adapt your game as it best fits.

There are many limits with the setup, those are not a problem for the game I'm trying to achieve, but you can expand to correct such problems:
-each part of the body is represented by a mesh and a destructible mesh (DM).
-the meshes cannot be stretched/animated, so it's not possible to have animated hands, as DM cannot be animated, they are created by static meshes.
-the workflow is very long, each arm/leg/head of the characters is composed of a single meshes attached to the bones of the skeleton.

The workflow is as follow:
1- In Blender, I create the rig with a simple mesh as a reference.
2- I create all the animations.
3- Then I create all the meshes to attaches to the single bones
4- Export skeleton and all the meshes in UE4.
5- For each Mesh I create a Destructible Mesh (be sure to import the apex plugin).
6- Set up all the DM as needed, the key setting is Support Depth to 1, Enable Impact Damage to True and a custom Damage Threshold and Damage Cap and everything else as needed.
7- Now, in the game, I use a Physical Animated Mesh to create the ragdoll of the characters. Be sure to use the tool to generate the bodies and constraints, custom modification looks to be broken and needs a long time to be set up too.
8- When a body (like the arm) of the mesh is hit, I break the constraint of that body to detach it from the skeleton.
9- Here the magic happens: I remove the mesh attached to the body that was hit and I spawn a DM in the exact place, the DM get immediately hit by the sword and is destroyed!

Here's an example: if I the head of the character is a blueprint attached to a skeleton, the blueprint has the mesh of the head. When the head of the skeleton is hit by the sword, I destroy the Blueprint attached to the head socket and I spawn the head DM in the same position.
I hope it makes sense, contact me on Twitter if you want to try this and you need help!