Fixed with a workaround:
1 Launch your UE project
2 Click VR Preview
3 Alt+Tab select your standalone preview window (may skip this step if it’s already selected).
You will find that even when you have selected the preview window, it’s not on your main screen. This is because the window is on the second screen, and therefore the step 4.
4 Keep tabbing (Windows key+ left arrow) until the preview window shows on your main screen.
5 Alt+Tab select your Headset Window (the one with two big red circles)
6 Move your mouse over to the Vive screen and click left mouse button once
7 Lastly, left click on your preview window once. The screen should now show correctly on your HMD.
No idea why all these steps are necessary, but at least it’s a reliable workaround on UE 4.17 currently.