That’s kind of mis-information,
the reason it doesn’t work is quite simple, there’s an issue with certain texture types that makes it hard for it to be exported normally.
In the case with the paragon assets, they’re stored as .psd’s but the source files aren’t included. Just the uassets. Its still possible to bake the textures and get them out…
That said, I’d be careful ripping things out of unreal, if it doesn’t want you to do a certain thing, it usually has a pretty good reason to do so…