In this tutorial, we will use Unreal Engine’s modeling tools to bake the rotation and scale of an object. This will save us time because we don’t need to go to an external DCC package, like Blender, Maya, etc.
https://dev.epicgames.com/community/learning/tutorials/r4B2/baking-rotation-and-scale-in-unreal-engine
Sadly this baking does the work just for the LOD0 and ignores all others, which makes this feature completely unusable, which is very sad. I don’t understand why the do it like that. The bake scale for all LODs would be so easy to do according to me 
Just repeat the same step for all LODs.
Hmmm, that sounds like a bug report waiting to happen. 
Yes, but from someone who has some value for Epic, my report will be just ignored forever
Sorry to hear that.