You can only export the most basic material features, so you need to make sure you’re using only Standard materials with simple colors and only texture maps in any texture map slots.
Epic has a plugin for 3ds Max with Datasmith that can convert materials from renderers like Vray, but that’s a different workflow designed to convert whole archviz scenes using vray to UE4.
The materials don’t correspond 1:1, so it needs something specially designed to translate the material between different programs, which is what Epic’s plugin does. For example, the standard material doesn’t have roughness/metallic, and Vray materials work differently as well and the conversion tool needs extra work to be able to work with them.