Your class name is UMyEngine but in your DefaultEngine.ini, you are calling MyGameEngine.
Try changing your ini to:
[/Script/Engine.Engine]
GameEngine=/Script/MyGame.MyEngine
Your class name is UMyEngine but in your DefaultEngine.ini, you are calling MyGameEngine.
Try changing your ini to:
[/Script/Engine.Engine]
GameEngine=/Script/MyGame.MyEngine