As far as I know, UEd doesn┤t have a smooth polygon function... it wouldn┤t make much sense anyway, since more BSP faces quickly result in performance dropping down. Most 3D Modelling programs (3DSMax, Maya) however have such a feature to smooth meshes.
Judging from the screenshots, I┤d say you placed too few lights. Try placing more of them around (use a small radius) and move them until the lighting looks okay.
what ur really looking for is more of an average normals kindof function, but im not completely sure how you'd do that either....
But at least with the columns you could EASILY make them in Maya or max, and average the normals there, making the geometry the same, but making lighting effects become much smoother at no preformance cost.
Try taking a look at some epic levels with simmiar structures, my guess is even one static mesh or sumin to make a shadow would go a long way.