If I understand, you are using the Unity tool because UE4 is breaking up your original building FBX?
You can select all of the individual parts in the UE4 Content Browser at once. Then drag them into the viewport together. All of the elements will keep their relative positions with respect to eachother.
On the subject of texturing; Blender is embarrasingly bad at exporting FBX materials. There are two options.
1/ Bake the textures onto the geometry. (Render-Tab/Bake with Full Render)
2/ Delete all of the existing materials then assign one single material. Then do a fresh UV/Lightmap unwrap. You will need to create a new texture file if you do this.
Note: Blender allows you to merge meshes also. Select All, then go to Object/Join.