UV Wrapping and Baking into UE4 Steps?

I think the main thing that’s confusing you is your getting two different work flows mixed together realtime (UE4) and VFX CGI (films). The latter you appear to have experience in you wouldn’t be using ZBrush and asking these questions otherwise. The real hurdle you face is quite a few features won’t work from say the tutorial you are using isn’t aimed at game engines which have some fancy tricks to make stuff work in realtime and have limitations unlike people with render farms.