Thanks for leading me the right path. I just applied Auto smooth at 60 Deg. Now the shading artefacts are gone because it flat shades on flat surfaces. I didn’t expect such beautiful normals, as I thought having sharp edges would show in the final bake but it’s barely noticeable. Weighted normal sadly didn’t work at all in my case.
I guess it all comes down to modeling practices and not to reduce the poly count on the low poly too much to get these shading artefacts.
Blender screenshot of the low poly with high poly normal map. Perfect shading. So in UE5 it should look even better 
