You should do one more thing to test the Blender exporter properly. Simply create a model like this in Blender and then export it. The whole problem may be generated when you import the model from UE4 exported mesh into Blender. I’m using Blender myself and I haven’t noticed this kind of shading issues, but I will yet need to do some testing. I have been toying around with a lot of low-poly meshes and some really big environment pieces in UE4 so far, and I did not test any smaller, rounded objects. And I have never tried to export a mesh from UE4 into Blender just to import it back to UE4. This kind of workflow makes no sense in real life scenario, so it may be be that the whole problem is not worth your time.
One more thing is that since 4.6, I think that UE4 started displaying a warning about missing smoothing groups for Blender exported .fbx meshes. It didn’t do it before. Also try posting that last screen on Answerhub, so maybe someone from Epic will take a look at it. Just wait until 6th of January, when they are back from vacation 