I think that's currently not properly supported. You could bake materials via something like COPs to textures and plug those into an Unreal Material. You could also make an Unreal Material and assign it to your geo. So that it will get automatically assigned to the geo on bake in UE4.
Currently I don't think there is an official way to use Houdini Engine at runtime. It's currently just for baking things out to standard Unreal assets during development.
Sorry I don't have the time to look at in depth, right now, but you should try to debug the ROP File Output node. It's an HDA, so you can examine what exactly is happening. At the very least you can fix the naming yourself.
If you are certain this is not doing what it is supposed to, you should send an RFE to SideFX and describe the bug.
