UE4 will triangulate automatically but you can’t guarantee it will do it well. the 3ds max fbx export options will allow me to triangulate a mesh on export. i always do this. it’s both good practice and necessary if doing normal map baking from a cage.
“now what i don’t know is if you were using quads and the export process screwed it up but from what i could see of the unwrapping it looks like you modeled it without them.”
what i was saying here is that i wasn’t sure how you were modeling your mesh. you answered that when you mentioned the f-gon function though.
the problem with the different shadows on the different parts is probably related to [this][1] (sorry, it’s in english). i suggest you use a threshold piece to hide the seam.
i did a basic mock up for you on the window piece. your original piece is on the left. this will help prevent light leaking through the wall (i don’t think this is a problem for you right now). having sealed meshes is also good practice.