Having this same issue today. Is this a bug with ue4 16.1 version? https://answers.unrealengine.com/questions/667739/vertex-color-alpha-channel-wont-work-for-me.html Painting the alpha channel of vertex paint yields no result.
Just stumbled upon this. I know this thread is from 2017, but I thought I'd leave a reply anyway, for posterity you know... Basically the default vector4, when painting alpha vertex color, has alpha value set to 1, both on white and on black. Image to understand better: