Well, good question. It may be that it’s supposed to work the way you think. It might be there is another ( correct ) way to use this. Or maybe it’s just broken.
The main thing with UE is not to sweat this kind of thing too much, otherwise you’ll never get there… 
Most people would not try and make this as one mesh, to be fair. And very probably block the thing out with blocking volumes rather than trying to get the building collisions right.