I don't know if it is even possible, I don't know nearly enough about UE4 to make that assessment. What I need is a sphere collisions, from the inside of the sphere. I was thinking it would be great if I could use USphereComponent for both collisions on the inside and outside of the sphere. This obviously doesn't work out of the box for the inside of the sphere. From some cursory reading of the API regarding USphereComponent and FCollisionShape it doesn't seem to be a straight forward task.

What am I looking at, for such a solution that offers collision hits when leaving a shape?

I don't think so, I need hit detection. I'm having something bounce around the inside of a sphere. I can use complex tracing, but I'd like to know it is running as efficiently as possible, especially since the meshes may have several thousand [or in the future potentially a few million] vertices.