You just have to create meshes and give them names following a pattern (such as UBX_YourMeshNameHere_01 etc. for Box collision shapes):
.unrealengine.com/latest/INT/Engine/Content/FBX/StaticMeshes/index.html#collision
And this feature isn’t new in 4.16 (at least not the Collision prefixes), you can use that with older versions too (and any Modeling tool that supports FBX export, not limited to MAx/Maya/Blender)