It’s definitely your mesh settings.
Go into the lighting section of the skeletal mesh and mess around with the checkboxes until you get acceptable results.
Keep in mind this is also in relation to the light source type in use, so the persona window shows you static.
The game/pie may be dynamic requiring different settings altogether.
Could also be contact shadows or a similar setting that’s screenspace based. Hard to tell from Screencaps.
You can check if it’s the smoothing group by looking over the wire frame view and comparing - but it doesn’t look like a simple smoothing issue.
Your character skin though.
You definitely want to output tangent manually deriving it from the normal map / making relevant changes to the mesh material slot settings.