Hmm. I have limited experience with VRay, but I would say this.
VRay assembles its shaders very differently from how Unreal does. This is actually unique from program to program to some degree. POVRay or Blender’s Cycles would need to have their shader networks done individually to each of those programs. Which means, you will have to reassemble your shaders the way UE4 needs it done.
UE4 also does not do iridescent materials very well, you have to fake the effect with light emission or some kind of nifty hack.
Does this answer your question? Sorry if I’m the bearer of bad news.