Daniel,
Did you try exporting to FBX from CE and importing those in Unreal Engine? I didn't try UnrealEngine 4.15 yet in this workflow but I did successfully use this workflow in past. FBXfrom CE can be easily imported to Unity and most of other modern game engines. GDC 2017 starts tomorrow so we can expect more news on state of game engines.
Dear Zorko,
thank you for your message.
I followed the Unity workflow and it works fine with Unreal Engine.
For anyone having similar problems here is a nice ESRI How To: Export textured models from CityEngine into Unity
http://support.esri.com/technical-article%5C000012449
New Link: How To: Export textured models from CityEngine into Unity
Kind regards,
Daniel