FBX exporter seemingly ignores forward/up axis settings

I’m trying to export a simple mesh, created in Blender (the Monkey template) and import it in Unreal Engine 4. Blender uses -Y as forward, Unreal uses +X. So when I place the mesh in Unreal, the monkey is facing at Y direction, instead of the Unreal default X:

I’ve read that issues like this could be fixed by using the axis settings in the FBX exporter of Blender. However, no matter what forward and up axes I pick, the end result in Unreal is the same as in the image above (Monkey looking at Y).

Here is a short video I created demonstrating the issue (I recommend watching in fullscreen):

Am I doing something wrong? Is this not what those settings are for?

I did a quick test in Unity as well and the orientation of the mesh doesn’t seem to change with different axis settings either.