Partikel summed it up pretty well,
For 15+ games I've done, all have been in-house engines so from that point
of view it's hard to say learn this particular engine. Pick one you like, once
you have an eye for making effects, the other engines can be learnt.
VFX artist can be a somewhat generic term too, so yes, there are artists who
only make particles, then there will be other VFX artists who just make shaders or
scripts. Again find what your comfortable with and pursue that!
Just to reiterate Partikels point as I think its spot on, look at games you
like, and judge your effects on that standard. When you feel it stacks up, apply.
It can never hurt for studios to know your name or have your CV on record.
In my experience the Degree gets your CV looked at, the CV gets you the
interview. You and your reel get you the job. If you have a really good real,
the other parts can be bypassed.