ZDU

Yeah, you should assign some smoothing groups before you export your model. What happened to the model in your first post is that UDK just assigned one smoothing group to all faces in the model you imported (from the looks of it).

That weird shading is from wonky smoothing groups. Verify that the model looks good in your modelling software and that smoothing groups are assigned. On import check "Preserve Smoothing Groups" under Skeletal Mesh>Advanced.