Ok, i think that I know what is the problem (but I have no idea how to resolve this).
Looks like the animation is exported correctly, but it names are loaded incorrectly to ue4.
For example if I use morpher EyeBlink_L it is loaded as E.
If i use both EyeBlink_L and EyeBlink_R then only one of them is loaded as E.
So while loading FBX created in 3ds max 2013, UE4 writes only first letter of blend shape 
BTW: I have just downloaded trial version of Maya 2014 and guess what - everything is working 
That is probably fault of FBX vertsion, below 2014 there are problems with loading morph targets to UE4. Can anyone confirm it?