Just confirming that this does work (also in 5.5) like HeavyCoat_Games said.
Main mesh settings:
Collision Preset to BlockAll
Collision Complexity to Use Complex Collision As Simple
Complex Collision Mesh - put your collision mesh here
Collision mesh settings:
Collision Preset to BlockAll
Collision Complexity to Use Complex Collision As Simple
If you open the Main mesh in the static mesh editor and Show > Complex Collision, it will display correctly.
However, the collision will not display correctly out in the main editor if you Show > Collision, but it is using the custom complex collision mesh.