Oh boy, do I have some great news for you! I figured out a way to fix this issue.
You simply need to open the Quixel asset material, navigate to the Parent material.
Mine is called M_MS_Default_Fuzz_Material. Inside of it you will find a Constant 1 parameter which is set to 0. Set it to 1 and it should fix your issue
However, I have not been able to solve this for some other Quixel assets.
Nanite or not, I have been able to bake most objects. It seems to boil down to some settings in the materials.
That is, if you have done everything else correctly settings-wise and UV-wise.