I found a way to fix it inside Unreal Engine. Connect the alpha channel through a oneminus node then to the Opacity Mask. Then you just need to change the blend mode to masked, and it will appear as it does in Blender.
Are you using UE5 or 4?Cause I think in 5 this doesnt work anymore, at least last time I checked, maybe they fixed it in new versions?
I'm using 5.4 currently and it's working so far
Edit: My mistake, I'm actually on 5.5.4
