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.
A synced workflow means that both the baking and destination software are using the same tangent basis. In the case of xnormal, UE4, and substance for instance, mikktspace. It means worrying about UV splits/smoothing groups isn't really an issue, and eliminates the usual problems that arise from baking to non-synced. TB2…
Yes, the T/Bi-N are exported with the .fbx file. A normal map with a single-smoothing group will look a lot different than one with UV/SG splits. The former will have much more extreme gradients as it has to compensate for the continuity of the SGs. So because the baker and the destination are using identical tangent…