It took me forever to find it as well, i almost posted a question for it too. On the toolbar to the right of the Build button there is a drop down arrow for the build options menu. You should see a checkbox menu item called “Use Error Coloring”
It will highlight the error areas. In the default content of version 4.01 the Shape_Cone static mesh has these overlap errors. To see it in action, drop a Shap_Cone in your map, check the Use Error Coloring and build lightmaps. You’ll see colored orange splotches drawn on cone.
