What is the best 3D modeling program to us for UE and then, for example to create a magical sword with a glowing aura coming off it is also done in the 3D modeling program as well? or no?
There is several programs for differend need. To make envirolment and hard surface efficiently you need a good 3d Software. Depend if you need only for this our not. When you got model you need to make details and photorealistic texture after make some FX effects for aura and glowing better with professional procedural program and after to set all in unreal engine.
Hard way to make (need alot of knowelage our a good team) - But With excelent result
Concept Art - Modelling - Detailing - Texturing - FX effects - Composing
Photoshop - Maya - Zbrash - Substance - Hudini - Unreal Engine 4
Less Hard way and less expensive in license - But not the best result
Concept Art - Modelling - Detailing and Texturing - FX and Composing
Photoshop - Blender - Substance - Unreal Engine 4
Easiest Way more expensive but less knowelage to learn
Concept Art - Modelling - Detailing and Texturing - FX and Composing
Photoshop - 3Ds Max - Substance - Unreal Engine 4