Further investigations of the problem have shown that in Unreal there is the ‘minimum rotation step’.
If the object is rotated less, it does not rotate in the world, however the rotation will be accumulated in object’s Transform matrix.
I have checked doing matrix calculations myself and then applying the resulting rotation matrix to the object - the results are the same (or at least very similar: for big objects ‘stepping’ can be clearly visible).
I wonder: maybe there is some switch or setting or flag hidden somewhere in the engine to increase the precision of this ‘rotation step’?
Any ideas?