Currently, collisions detection for procedural generated meshes require either pre-cooking, or an aggregate of simple shapes to approximate mesh shape. In all cases, to detect mesh collisions requires fiddling under the hood, linking extra PhysX libraries, and implementing custom cooking routines. Further, it seems that run-time cooking will be disallowed starting in 4.1, and will require workarounds to implement in projects. See this post.
The suggestion is to allow collision detection for arbitrary procedural generated convex meshes as easily as for pre-cooked shapes. This is a feature that exists in Unity 3D, see this link. Unity uses PhysX, and supports procedural generated meshes without cooking out of the box.
If the design decision by Epic is to disallow run-time cooking in 4.1, then at least provide a module that can be linked to so that it may be easily implemented.