I'm not sure why the Substance Source icons are all white. Its working for me on Windows 10 running UE4 4.21.2.
To create a new substance in unreal, you need to import an SBSAR file (note SBS files will not import). You can either download one from Substance Source or publish one from Substance Designer. AFAIK, there is no way to create a new substance directly in UE4.