We had the same issue. As it seems, Unreal works internally with linear color space. If you export that without conversion, the colors are broken.
We have 2 Composure pipelines. One for Video from SDI to SDI and another from File to File.
Video: Here we stream in Camera, Background and Mask via SDI and output it to SDI.
To fix the output color, we used OCIO Color Management with OpenColorIO | Unreal Engine Documentation
with the following configuration:
Photo: We load Photo, Background and Mask from .jpg files using the C++ image wrapper module and use a Composure output to render it to a RenderTarget. The color in the RenderTarget displays fine, but exporting it to disk broke it. I was able to fix it by changing the format of the output RenderTarget to “RTF RGBA8 SRGB”
For the export of the RenderTarget to disk we use the Blueprint node ExportToDisk Export to Disk | Unreal Engine Documentation