Unreal Engine is designed for real time 3D games with everything that a real time 3D game engine needs in its core. A 3D model real time rendering engine, a collision detection system, an AI for controlling various NPC's and so on and on. It's being developed since 1998 and has been used to run some of the most advanced 3D games in the world since then.
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Using it for displaying pre-rendered static images is like using a super computer as a desktop calculator.
The main reason being, that it isn't designed for visual or kinetic novels with static images. It's too big and complicated, a waste of resources to use for displaying images. There are better ones available for free, with everything already built in that an actual VN needs. Ren'Py being an excellent example as one of them.