Hey andy_blondin,
it depends on what you want the height maps to do.
You can use Height maps for displacement or parallax occlusion mapping, for instance. You need to setup a Material in Unreal to do that, there is no chance you'll get that behaviour right out of an .sbs-File.
However, you can use a Substance-File to generate the Height map for you and use that to compute the displacement.
Best Regards