Additional information is I am using the Voice Device in MotionBuilder. I then bake this down to keyframes on the morph targets.
Not going to bump this. Just add here.
The issue with the interface was just me being daft. I was looking for a way to expand the UE import dialog and for some reason did not see what was right in front of me. Those mall arrows. Silly. Anyway, now I can see the option to import Blend Shapes on the first go,
So just for future reference. There are no other steps needed. Make sure your Blend Shapes are baked down. (Plotted) Importing the FBX will automatically load the Blend Shape animations as well with the option checked in UE.