UE4 i'm newbie

I’m a beginner, and after trying it already appreciated the engine. Cool, really nice, graphics and features. But I don’t understand why the heroes use capsules for the collision. Can you use a mesh somehow?

This is a sad limitation to the Character class. You must use capsule collision. There is no workaround. No matter what you try, you cannot change it.

You use a pawn in that case; from Pawn | Unreal Engine Documentation:

The Pawn class is the base class of all Actors that can be controlled by players or AI. A Pawn is the physical representation of a player or AI entity within the world. This not only means that the Pawn determines what the player or AI entity looks like visually, but also how it interacts with the world in terms of collisions and other physical interactions. This can be confusing in certain circumstances as some types of games may not have a visible player mesh or avatar within the game. Regardless, the Pawn still represents the physical location, rotation, etc. of a player or entity within the game. A Character is a special type of Pawn that has the ability to walk around.

Well, yes you can use a Pawn, but if you need actual standard movement implemented, it’s a real pain unless you use the Character class.