I had the same issue, in UE 4.18, and as @xlar8or pointed out; the “Warm Up Time”, in cascade, does not work for GPU particles 
My workaround is to set the CustomTimeDilation, of the particle system, to a very high value (100) in the BeginPlay of the level blueprint. This makes the particle system play 100 times the regular speed. After a short delay, of 0.025 seconds, I restore the CustomTimeDilation to 1.0. Depending on your game, such as the size of your particle system and whether you use e.g. GlobalTimeDilation, you may want to set different values for the CustomTimeDilation and the delay before restoring it back to 1.0.
P.S. I know this answer comes a bit late, but when searching I found this. If it helps just one person it’s worth the post 