While trying to find a workaround for this: Mesh collision not working with physics - World Creation - Unreal Engine Forums I found this bug where the imported collision mesh is very simplified in UE4, I also tried it splitting it in 2 collision meshes in 3Ds max but in UE4 it was then the same simple shape just split in 2:
Hey Davision -
Collision Meshes cannot have any Concave elements, the engine will automatically fill in the concave portions if you try to import it into the engine. If however, you divide your mesh into multiple sections you can achieve the collision you are looking for. I did a quick example for you here I have a 4 pointed star mesh that I want to have exact collision and in order to do that I need to make 3 separate meshes with no concave elements to get the shape:
Thank You
Eric Ketchum
As suggested in answer, you need to split up your collider to convex elements and use naming convention for proper import. Refer to FBX Import Pipeline documentation .