This is "alpha" version of displaying multipart meshes. It is significantly unfinished, so it is undocumented.
This feature is
not socket-relative. This is a combining multiple meshes on a single skeleton.
How to do this. Browse meshes. When you'll find a mesh which should be attached to another mesh, press <Ctrl+T> key. Mesh will be remembered ("tagged"). Then browse for other meshes. Tagged meshes will remains on the screen.
There is no way to clear list of tagged meshes - you'll need to restart umodel. Alse, there are major problems with animations. That's why I told about this feature as "alpha".
This feature is intended to take good screenshots of multipart meshes. Most
Batman screenshots were made with this technique.
Another sample
from this thread (UT3 player model):