I’m working in Blender, and it still doesn’t seem to be possible to export morph targets and then import them as shape keys in Blender.
However, I think I have a cumbersome way to get around it.
In Unreal, you can open your character mesh, edit one morph target to its maximum value, and then ‘make static mesh’. You can then copy out all of the morphs as static meshes. Also export a static mesh with no morphs applied.
Then in Blender, import all of these static meshes. Use the ‘join as shapes’ function to combine these morphs back into the base mesh. Add your own morphs as you see fit.
You then need to export a skeletal mesh of your character from unreal into the Blender scene. Copy the vertex weights from the skeletal mesh to your static mesh. Use the weight painter to double check that the weights have been transferred. Delete the crappy morphless mesh from the skeleton. Parent the morphed mesh to the skeleton with empty groups. The mesh with all the morph targets (shape keys) applied should now be rigged to your skeleton. With the proper settings, this should export back into Unreal.
You should now have a working Blender file from which to morph to your heart’s content.