Which axis is “north” depends entirely on your code and assumptions and input data, not on the engine.
If you have built a model of the world that puts East along X and North along -Y, then that’s what your sunlight shader and general logic should assume. (Also note: Unreal Engine uses left-handed interpretation of coordinates, like a compass, not right-handed, like you’d typically draw a unit circle!)
Another way to think about this: “When a character controller has a yaw of 0, and moves straight forward, which axis does it move along?” (IIRC, It moves along the X axis.) Now, asking yourself “Which direction do I want a character controller to move when it has 0 yaw?” will answer “what cardinal direction should I make the X axis correspond to?”