You can check Unreal engine games on Steam here (note that some UE3 games might show up too)
Also note that many UE4 games are exclusive on the Epic Store
There’s also another fantastic site, GameDataCrunch, that allows for powerful multifaceted filtering of just Unreal Engine games by genre or reviews, etc.
You can also browse every game on PCGamingWiki that has the tag Unreal Engine 4 here. And Unreal Engine 5 here (though it’s a very incomplete list)
This newer SteamDB search is another great way to search Unreal Engine games now
You can filter by genre, year, sort by ratings, exclude games with anti-cheat, etc.
Instant Search · Algolia
Note: if you want ALL the games to show up in SteamDB (only the top 1,000 are shown by default), you need set that
If you want to stay up to date with upcoming Unreal Engine games, this Youtube channel does a fantastic job showing them off: