I'm starting the suspect things are different with Max/CAT rigs compared to rigs from Maya. It strikes me CAT rigs need an animation to import in correctly.
And the mesh and bones import fine...? I was told in a lecture last week that Max's CAT rigs tend to be more 'compatible' with Unreal compared to Maya, so it's ironic I'm having so much trouble lol. What was your approach? What settings/checkboxes did you have checked on export?