Using Blender 2.78c and UE 4.15;
I discovered, that sockets are not imported from Unreal, unless the sockets in Blender have the mesh set as their parent.
Alternatively you can also check the “Combine Meshes” option in Unreal’s import window.
Apologies if this is common knowledge. Just thought I would let the internet know about this.
Cheers and have a good day!