You don’t need to export each wall separately. All you need to do is make sure that the whole model is not a single object. For a better quality lighting, you need to break the Model into multiple objects. This is to avoid lighting artifacts and very high lightmap resolutions.
You can export all objects in a single fbx file.
Check the Unreal Wiki. It has lot of Blueprint tutorials including Automated door tutorial.
https://wiki.unrealengine.com/Category:Blueprint