I talked to some Unreal guys at the EUE, asking them when they get rid of the prehistoric workflow of the baking system of Unreal.
They told me it won't be happening soon. They won't be implementing vray of corona as render engine to baked the lightmaps in Unreal as part as their new Unreal Enterprise.
They are (as Belly mentioned) going to launch a nice exporter that exports a full 3ds max model to Unreal. including (vray and Corona) materials, lights, etc.
The baking process remains prehistoric.
As they are fully focussing on their new Unreal Enterprise, I had the feeling they first want to sell that and then, maybe, change the baker.
I know I'll wait for Unity + Octane (releasing at the Siggraph I think). Of course, Unity or Unreal + Corona would be a dream but I can live with Octane.
Until then I'll keep baking everything with Corona and export it. It works in the mean time.