Hi Brandon,
Unfortunately, this is a known issue with no easy workaround that I'm aware of at this time. Our Unreal SDK team is aware of the problem and is tracking it internally. For all intents and purposes, segmented dimming is not supported for UE apps run natively on ML2 right now.
The issue is exactly as you describe, the alpha channel as rendered by Unreal Engine is inverted. As described in the article that Robbie mentioned, if you are using remote rendering, then you can use an infinite post processing volume to work around it by basically inverting alpha again.
However, afaik alpha is not output when post processing is enabled when packaging for Android by enabling the Mobile HDR option, so that workaround isn't an option when building an application to run natively. As you've discovered, you can get inverted alpha (and thus inverted dimming 
) by disabling Mobile HDR and enabling MSAA.
Best,
Adam