I’m getting this problem as well still in July 2024, but only for Nanite meshes.
I’m using UE 5.4, not UEFN, though.
Is your mesh also a Nanite mesh?
Did you ever figure out how to make it work?
I forgot to mention that I remembered I had switched the rendering mode from masked to transparent to see if the new engine version had added support for more rendering modes to Nanite meshes and forgot to switch it back, that’s why it wouldn’t work in the preview with nanite meshes for me. It wasn’t the checkbox you mentioned, that was already checked, although that was a good reply that I think could help others. I just wanted to point this out in case it will help anyone else.