Hi,
the main thing to know is that Unity does not really work with georeferenced datasets. For this, CityEngine has an export feature which you can use to move ( on export ) the georeferenced datasets to the cartesian origin.
I'm not sure how important it is to have proper elevation in your projects, but I'd do the following :
1] in CE, create a terrain ( note the limitations there concerning raster sizes in CE )
2] import the OSM data into CE ( should not be an issue about projection at all )
3] project the OSM data onto the terrain
4] create rules for your buildings ( main task of course )
5] export to FBX and load into Unity
If you need the buildings also in ArcGIS otherwise, export to MultiPatch (GDB) or kml.
OK ?
Matt