According to the official document here (Building On Linux | Unreal Engine Community Wiki) running setup.sh is just the first step and you have to run additional commands also.
You have to use this commands and make sure you run them WITHOUT using super user (sudo) access.
if you compiled successfully then the executable (called binary) will be located in Engine/Binarie/Linux/. Linux keeps everything in a sandbox at user level unless you decide otherwise. You will also have to create an .desktop file in .local/share/applications so you can launch the engine from the menu.