So. I needed to create a project in Unity and follow the PICO Unity Integration SDK documentation. And encounter the same problem in Unity. After carefully studying what I missed, I realized that the problem was in the environment. Both engines must have a transparent environment. It is not enough to set the color black, you also need to set Alpha - 0.
In Unreal, you need to use SM_SkySphere (perhaps a regular box with normals turned inward like a standard sphere will do, or use a 2-sided material). And assign Unlit\Translucent material.
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