Does your material look correct though?
With the srgb tickbox unchecked, results should look correct in the 3d environment.
By default, substance displays the 2d view in srgb, even though roughness maps are exported and interpreted as linear.
I'm not sure how Unreal displays it in its 2d view, but either way, this doesn't really matter. The 2d view of the map can use the wrong colorspace while the 3d renderer uses the appropriate one.