Unreal Engine 4.21
By default UE4 uses fast simplified convex collision shapes to calculate collision for static mesh actors.
This means that the player or projectiles wont be able to path through holes, openings or doors in the model.
To set complex (concave) collision for a static mesh model:
In Static Mesh editing window, in the details pane, under Collision:
Set Collision Complexity to: Use Complex Collision As Simple
This example shows the default behavior for a model that has an opening, neither the projectiles nor the player can pass:
In this example collision for the model was set to Use Complex Collision As Simple: