@jocalath, it is pretty easy to bake all the lights in maps and place the bakes on temporary objects in Max. I attached a test I made half a year ago to test bright white corona-lightmaps and glass door reflections in Unreal. Maybe this is helping you?
I want the same as you for a long time. I, therefore, use a somewhat desperate workaround. I bake lightmaps with corona, place as an emissive map on a temporary corona material, placed on a cloned, temporary object. These temp objects I import in Unreal with Unreal Studio (works fast).
It is not a perfect workflow I have some issues with combining the lightmaps and dark textures but I get good enough results which I can share with my clients.
Lights (only used for the realtime reflections) are also exported with datasmith/Unreal Studio. They need some tweaking in unreal but are pretty good.
For complex reflections, I render cube maps in 3ds max/Corona and use these in Unreal reflection probes. They are lightweight and don't need lights to be exported.
Of course, this is a temporary workflow until we all bake fast lightmaps/fields in Unreal using Corona Render for Unreal :D