Can’t be 100% sure this is your problem but based on my own experience with substance, I’d say you have sRGB enabled in your texture settings in UE4. Disable it for roughness.
If the roughness channel is channel packed then use the “Masks” compression setting preset
Allegorithmic/Adobe has a documentation page with a convenient table that tells you the necessary settings for each map:
2022.01.05 Edit: Adobe seems to have deleted the documentation page and expects you to use the plugin from now on. If you still want to do manual import the only thing you really need to know is that sRGB should be enabled for Albedo and disabled for all non-color data such as roughness/metalness/displacement.