Many, many moons ago I wrote a Maxscript that would spit out spline shapes as CSV, which could then be imported into UE4 as a data table.
I then created a Blutility that would recreate the shape via spline component.
It worked pretty nicely, though IIRC, at the time UE4 did not offer the same level of control over the out direction of the spline knot tangent handles that 3DS Max does, so quite often results would not be 1:1
I had put in a feature request for this functionality, and I believe it may have been implemented at some point, though I have not had opportunity to verify.
It may not be the truly integrated fully supported feature you are looking for, but perhaps it will suffice in the short term.
I will resurrect my spline project and see what can be done with it ASAP.
(While my tool was 3dsmax centric, the generic data format I wrote should be easily reproduced in MEL/Python/etc for Maya, Blender, and so on.)