Yep the mesh have smoothing I have tried that a bunch of times.
It seems it might be impossible to both have low poly count and a smooth mesh when making a simple cone.
The problem is that when you triangulate you end up with a very thin triangle on each quad near one edge. And this makes the engine shade it sharply there, as there’s two poly edges just next to each other.
See these images from maya,
So my next plan was to bake out a normal map after all but even there I don’t seem to get it to work
Using the same low poly mesh to bake from and trying both using hard and soft edges none of it makes the cone look round and smooth in UE.
I have tried baking in Maya and in xNormal. I have tried flipping the flipping the green channel, and not.
(it actually seems to shade nice and round in Maya’s viewport 2.0, but I can’t get it in UE)
I never thought I’d sit a whole day just to make a cone!
Does anyone know how to make smooth cones? 
Cheers