update-desktop-database (desktop-file-utils package) may not be installed (and it is not installed by default on servers). Setup.sh fails in that case currently.
1) Get a new, clean Ubuntu server (on Google cloud or locally with VirtualBox)
2) Clone the github repo (git clone https://github.com/EpicGames/UnrealEngine)
3) Run ./Setup.sh
4) Notice it fails because ~/.local/share/applications does not exist
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-44650 in the post.