I battled with this for weeks as there is so little information on it.
here is what works
Make sure you have applied materials to each piece of your geometry
Export your alembic cache from Maya (or whatever you use) Make sure you have UV write, Face sets, Write colour sets and Write UV sets checked
In Unreal: import as geometry cache, check - find and create materials
… but here is the one thing that took me ages to work out TURN OFF “FLATTEN TRACKS” … I don’t know why this is on by default, but once off, you will see all your materials in the slots, and you just reapply materials to each element
Hope it helps