Exporting from UE4 to Blender (at least the default models) seems to be quite a pain. If you are just after the default animations then i had more luck with just making a new character in Makehuman (or so), rig it with the UE4 skeleton, import into UE4 and then retarget the UE4 mannequin animations to the new character. Takes a bit of tweaking and mapping, but results are quite OK. Keep in mind that the mannequin has quite a bit of different body than a casual human, so not all animations look that great on human characters if you just retarget them.