You don't make textures inside UE4, it's more the shader that you control. It's how the textures get used. For example; you wouldn't texture a crate inside UE4, but with careful planning you could control the tint of the crate in UE4, or create a switch to add or remove some decals you made for it.
Everything should work just fine in UE4 from Max with the same .fbx settings. All you have to do is specify 'normals'(which will be on by default in UE4) upon .fbx import. This will automatically sync the workflow from Painter because[just like Painter] UE4 will compute the tangents/bi-normals.