Going to bump this old thread since this is the only thread about generating documentation with doxygen.
I went ahead to try this on UE4.13. It works perfectly fine, don’t get deterred by the above post. There shouldn’t even be a .chm file produced if you followed the steps.
One small missing detail about step 3: tick “Scan recursively”. If you don’t do this the wizard won’t go deeper into the folders in /Source