Thats not true. You dont need to combine the parts in the 3d app to have em combined in UE. I am having this exact same problem but i know it should work because the first time i imported my skeletal mesh into UE, it automatically combined all the parts. I needed to delete the imported mesh because i made changes in blender, and when i go to make the same import process in UE, this time i cant get the whole mesh in one piece.
Any ideas?