Reported by Twitter user,
"Does #UE4 seriously not support importing greyscale textures anymore?"
1) Open a Project in UE4Editor
2) Select Import in Content Browser
3) Select either of the attached files
LogAssetTools:Warning: Failed to import '/Users/.../Desktop/GrayScale.tga'. Failed to create asset '/Game/GrayScale'
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-5198 in the post.