As far as I understand it, HDAs are great for building level editor tools in UE4. However, they're development time only. Houdini Engine is meant to be disabled during a package (shipping) build. So assets that are tweaked in UE4 need to be eventually “baked” out before packaging. Is this correct?

Yes. Houdini Engine is not middleware.

Sorry, I just noticed a forum category for HE and UE4. I will post there next time (or if an admin could move it on over, that would be great).

So, off the top of my head, potential problems I see with adding HE:

• If the plugin is enabled, it'll show up in the uproject. If submitted, people without HE installed will be prompted about it. Minor, but annoying.
  
• The baking process (whatever that happens to be) needs to be automated for release builds. I assume HE has some type of scripting API for this? Each HDA would probably bake out different assets depending on its type. Building HDAs will require vigilance to ensure that they conform to a known “bake” interface.
  
• The build machine will have to be updated with scripts to handle all of this.
  

To be clear, I haven't incorporated HDAs into our pipeline yet, I'm just trying to assess the potential impact at this point.

I think you should just post there as I'm not really that knowledgeable with HE, I come from mostly using Houdini only. The “baking” that you're talking about is the result of evaluating the HDA with specific “parameter” values. In some sense, you can think of HDAs as a function that takes some values for its parameters and returns you geometry to your game editor. So I think how to save out that geometry will depend on your game editor.