The official Mac SDK requires a Mac while the official Windows SDK requires Windows, hence the current setup. This isn’t something we plan to change so it isn’t on the roadmap.
There’s a couple of important reasons:
- The EULA for the Mac OS X SDK forbids use on non-Apple branded hardware so we can’t build for Mac from Windows as there’s no alternative to the official SDK.
- There are alternative SDKs for Windows that allow building some applications from POSIX OSes (like OS X & Linux) but UE4 won’t compile through them.