FBX asset _Anim from Maya 2016 is weird

I exported FBX 2014/2015 version from Maya 2016, FBX has blend shapes animation by keyable.

When I imported this FBX in UE4.12, it automatically generates
~_Anim,
~_PhysicsAsset,
~_Skeleton assets along with mesh and texture.

The problem is from ~_Anim asset.
This asset is not saved in a project.
So I close and open a project, ~_Anim asset is gone.
I have to reimport FBX.

What is the wrong with my procedure?