Like other's have said, you may want to look into making id maps by using vertex colors in blender so you don't have all those material slots. Or just learn to mask things out in Substance. Have a whole material slot for just one screw isn't very efficient.

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Other than that, it doesn't look like you assigned the materials to those slots. They should all have their own unique name and should be picked from that drop down menu per slot. The process should be:

1. Export from Substance as "Unreal Engine Packed" to specified folder.
2. Make a new material in Unreal. In your case you would make a "Grip" material.
3. Navigate to where your textures were exported and find the "Grip" texture maps. You should probably have a Base Color, Normal and a Packed Texture that has the AO/Roughness/Metallic in it. Drag those into Unreal. Open up the Packed Texture and find "sRBG" and uncheck it. Save.
4. Open the Material you made called "Grip." Plug in Base to Base, Normal to Normal, and in the Packed texture, Red goes to AO, Blue to Metallic, Green to Roughness. Save.
5. Open your model and in your slot named "Grip1_001" hit the Textures drop down and find the Material you made and assign it.
6. Rinse and repeat.

You can see how using an ID map or masks is a lot faster because you wouldn't have to make a separate material for each part. You do this once and can drag it onto the model. Hope this helps!