To build lighting click on the “Build” button on the top toolbar, and select either Build All or Build Lighting Only to build the lighting.
If you don’t want to have to do this, you can set your lights to “Movable” instead of static or stationary. Doing this will make them Dynamic lights, and will look the same both in game and in editor. If you are going to use a lot of lights then dynamic lights are not the way to go as they are more performance hungry, but if you are just using a sun light and a sky light dynamic is the way to go.
Here’s some more info on the different lighting techniques:
.unrealengine.com/en-us/Engine/Rendering/LightingAndShadows/LightMobility
Hope that helps!