I use Max and sure it works. Not sure if I’m reading the op right but.
The naming convention should be
Object name = Box
Collision = UCX_Box
When exporting to FBX export by selection only.
There should only be one object for each UCX object.
The object that needs a UCX collision should be a single object and the is not combined when imported.
If you import an object and try to update with a UCX Unreal 4 at times will not update the UCX but only the object. Do a clean import from scratch.
Best practice the UCX can be any number of collision objects but should be combined as a single object.
Easy to test if things are working right.
Make a box and call it “Box”
Make a copy of the box in place and call it UCX_Box.
Select just the two object and export by selection only and should import with collision as a single object.
A tip for making in app custom collision.
Make your custom collision in 3ds Max and export it as a static mesh. In Unreal 4 give it simple collision and in the details check “hide in game”
P.S. I did not see it but make sure combined mesh is unchecked.