Hey paradox00,
I moved you topic to the discussion where it fits better

Well, I always export the textures, because it better fits my workflow. There were some bug here and there in the past with the Substance integration, too.
There was a time when the normal map, for instance, got a worse quality when imported as a substance, but I don't know how it is handled right now.
Running the Substances in the Engine, however, shouldn't give you too many benefits/drawbacks. It's nice to edit them directly in the engine without the need to re-import them, but on the other hand you'd need to compile them every time and deal with the extra-files.
Try out both and see what better fits your workflow, there is no straight 'Yes' or 'No', as it is with many steps in development. In the end, however, the game should run with the same performance, whether you use Substance or not. The size of the game could be smaller when Substance is used and could be essential when it is a download game.
Best Regards