So this should have to do with how you’re assigning the shader. You apply the shader to the placed mesh in the level and then duplicating it, which grabs the shader applied to the static mesh from the asset browser.
Assigning a shader in a placed mesh is like an override, so if you have 20 red cube, and one of them to be green, you can select that placed mesh and assign a green material without affecting the others. As well if you change your mind and want the red cube to be purple, the green one won’t be affected. The key is to assign the material in the asset, not in the placed mesh, unless you want to change the default behavior.
It could be a bug, but I have not encountered that particular bug, and I’ve been doing a lot of importing / exporting… possibly try another version of FBX (2006/2008), which Unreal will complain about but sometimes sheds light on what’s wrong…