UE4 only use convex for simple/custom collision,that means no hole, no concave.You must use small convex shapes for collision.I recommend you read this article, it will help you :
https://www.multipainkiller-studio.one/dev-tips-for-game-developers/custom-collision-from-blender-3d-to-unreal-engine-4/
Hey I’m a beginner with blender (and UE), but I managed to create a dome collision mesh in blender with the base mesh. After exporting-importing the .fbx to UE, (using the UCX_ naming syntax, and disabled auto-generate collisions), the collision inside UE works, however some sort of extra default floor collision is applied. I’m stuck where the problem is occurring, - is there any config I need to do in SM editor/import settings? Thanks in advance 
Ahhh I see now, thank you very much for the explanation - I now know what to do. This is extremely helpful and thanks for the quick reply.
Video Explaining blender to unreal collision :
