Why the same HDR image looks different on Website and UE4 editor?

I downloaded an hdr format image from HDRi Heaven Website, and then I imported it to the UE4 editor,
but these two pictures looked really different, I’m so confused, why? Did I set anything wrong?

Nah, it’s fine, HDR images have ranges that far extend what can be displayed on an SDR display so how they are shown is pretty much arbitrary.

You could assign the image to a material, put it on a plane, and adjust the exposure in the viewport to make sure it’s really not clipping/missing data.