As a general rule the simpler the collision the better performance you will get out of it. You should really consider importing your meshes with a custom collision as the engine rarely auto-generates good collisions.
You’re not going to notice any drop in performance from 1 object with lots of collisions but you will notice it if you have tons of objects with poorly optimized collision.
Whatever modeling package you use to create your assets. I use blender becasue its free but you could easily use any other package that allows FBX exporting.
Here is the unreal documentation for the static mesh pipeline and collisions:
This video will show you how to export collision from blender but the workflow is pretty much the same for every other program.