My question is: how can I use a new ShaderFx from maya 2015 in Unreal Engine 4?

You can’t, ShaderFX is for Maya. I expect it’s also a lot more complex than UE4’s renderer is, so a lot of it’s features won’t be available to you in UE4.

All shaders have to be built in the material editor, unless you’re doing something with source code. I haven’t yet figured out how to do it though.