After trying to follow this instruction with 4.11.2 I found out that Spacescape doesn’t export cubemaps in a way that makes a seamless skybox in UE, even if there is “UNREAL” preset in cubemap export dialog. Here is how cubemap looks like after it’s saved to DDS from Spacescape:
Here is how should it be rotated to make it a functioning skybox texture in UE 4.11.2:
Hope it saves someone time.