In order to select the VFX that is played when a footstep occurs, the Animation Blueprint checks on the object BP_HEFootstepVFXSelector which one should be spawned for that particular Physical Material.

Similarly, the object BP_HEFootstepSFXSelector is used for sound effects.

You can create your own object of type HESurfaceVFXSelector or HESurfaceSFXSelector to create your list of effects and sounds and assign them on the FootstepPlayerComponent in the player BP.