I don’t specifically know the answer, I’ve never done this with CAT and UE4, but a way you can test what’s going on is to import that FBX back into Max, then look at what’s actually going on with the hierarchy. UE4 likes singe clean hierarchies. Just check it out, and you might spot the problem. I don’t know CAT well enough to know what it does when using IK targets. I doubt it does something drastic. Most likely something gets exported UE4 just doesn’t like. But I’m not sure. Just talking theory at this point.
How to go about fixing it?.. hhmmm well since CAT is basically a sort of closed system, if using any of it’s built in functionality caused a problem, you probably can’t directly make any changes to fix it. You MIGHT be able to fix it by how you export. If you export scene, you’ll get all the bits and bobs in there and UE4 might not like something. But you can export selected only and get a much cleaner file. Max should respect your animation, even if you did not export all the controllers… etc. like IK targets. Max bakes out animation into the FBX at export. So you could try exporting selected by only selecting the bones you actually need. For animation exports, bones is all you need. For your actual character, of course, bones plus mesh. Make sure when you export you have the same bones for both mesh and animation exports.
Other than that, I’m not sure. I always suggest people to not use these kind of built in rigs directly. Using CAT or Biped directly limits your setup in some ways because they are closed systems. CAT is more flexible than Biped but still, it has it’s own ways of doing things. Building a custom bones skeleton and driving it with CAT is a cleaner way to do things for the sake of UE4. It allows total control in stead of messing about… you know.
Either way, I hope the “export selected” thing fixes this for you, otherwise I’m not sure now… as I type this…