Surprised you have not gotten any replies.
Yes, you will need a skeletal mesh to animate anything in UE4. That is how it is done. This is not so much a limitation, as a way of doing things.
Just look it up in the documentation, under Engine Features > Persona.
I see you are using 3DMax, I have no idea how rigging works in that program, as I am busy learning Blender. Rigging systems can vary quite a bit in features and approach between programs, and the use of language changes as well.