Ok, I figured it out. Turns out I had to create a new IK Retargeter asset, to retarget from UE4 skeleton to UEFN skeleton. That retargeter has to be carefully adjusted to best match the two skeletons.
I’ve uploaded my version, feel free to use.
RTG_UE4_to_UEFN.uasset (17.5 KB)
(This asset is created with the skeletons and assets are in the default folders from the GAS project)
Simply retarget animations and choose the provided retargeter instead of auto generate regarget.