Well there are a few options and using bones for physics is just one.
The best option would be via vertex base animation or simulation which is supported in the FBX exporter. The bummer, unless there is an update, UE4 does not support vertex animation aka in 3ds Max Point Cache Data.
The other option is per object animation that you can bake as part of the export to FBX process. This requires each object to be unique as to any kind of physics solution you wish to apply. The only requirement is the objects are linked to a parrent for import purposes.
In your example using bones each bone has to be linked to a parent bone as a child so when you import the animation you can target the animation to a single parent and the importer will find the necessary children with in the hierarchy. This would be the same process as to say using per object but is best practice of applying a single rigging to a single object.