For many years the MIDI support built into Windows did not allow more than one application to access the same midi device at once. This has been fixed with the Windows 10 UWP MIDI API but it’s up to developers of apps to rewrite their apps to use this relatively new MIDI API rather than the older one(s). I’ve no idea whether UE4 uses this one or not.
Certain midi interfaces/devices probably tried to avoid this situation in the past by trying to do clever fudges in their drivers but I dont know which ones. I expect the most common traditional solution was to use some kind of midi utility on windows that allows midi message routing and the creation of virtual midi devices. So the utility program would be the only one connecting directly to your midi device, and would then send the midi data to a couple of virtual interfaces. You would then use these virtual devices as the midi input device in your other apps such as Ableton and UE4. I do not use Midi on windows enough to know which utility and/or virtual midi port app to recommend. You might be able to get away with a program that just provides virtual midi devices, and do the actual midi signal routing in Ableton via a track that takes midi in from the interface and sends it out to a virtual device output that UE4 then uses the equivalent input of.