I actually solved the problem, but it’s really weird, so please pay attention. Do this:
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When you have all your animations ready for export, make sure that the mesh is an “Editable Mesh” without any other modifiers on top. If that’s done, use the tool to export. The EXR WILL be black, but the Normals will be okay. Very Important to make a BACKUP of your Normals file because this is the one we will going to need. Delete the Black EXR.
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Now delete the newly created mesh by the tool, and click on the original animated mesh again, and add an “Edit Poly” modifier on top. That’s all. Then export again. The EXR file will be okay now, but the Normals are screwed, so switch it with the previous one as I mentioned above.
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Now you are ready to export the “Morph” mesh created by the tool and import it in UE4.
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Now import everything in Unreal, and follow the guide on the DOCS page for the textures and materials setup. It will work now.