Thats unfortunate to hear. Was really hoping i could finally use this software. Other than the lighting issiue (and maybe the scaling), it works great and id really like to use it to build my game.

• Currently im using version 4.21.2. The problem has been present since i first bought this software back at the start of 2018. Since then the versions of UE4 changed but the problem persisted. 
• I tried it in FBX and OBJ with  merged blocks since the individual pieces aren't easy to assemble in UE4.
• Honestly it doesn't seem to matter how i export it and import it, the same results appear so:

1. Make model (in my case, a castle)
2. export as OBJ or FBX with textures (or without) and with merging
3. import into Unreal engine with textures (or without)
4. Place object and build lighting 
5. Especially observe areas where blocks would overlap and areas that would be in shadow. 

Sorry that i cant give more detailed steps. I haven't figured out what causes it exactly since i cant get it to work right no matter how i do it so i cant find what might be the root of the issue. If you have specific questions or things that you would like me to test, just say so and i can try it out.