I don't know what exactly you mean, but most of those Engines do support Online multiplayer. (Programming with that in mind can be pretty stressfull though, optimizing netcode even more) If you mean the online Subsystem (Battle.Net, Steamworks, etc). You can expect steam support from them. So advertizing open games to the Steam Master Server is possible. Unreal Engine 4 makes it also possible for you to implement your own, because you have full source code access.
I also moved to UDK and now to Unreal Engine 4. Creating Assets is the biggest problem though, but Unreal Engine 4 has enough for me to work on a prototype. I'm also able to make my own 3d Models and animations. On top of that I'm working together with Gorandor (Xaragoth), who is also able to make assets. We'll need one or two additional artists though if we enter a phase where we need more polish.