I’m no guru, but what I know is that you do NOT need to know all game engines to work as a VFX artist.
Pick your engine that you want to learn in and go from there. I would personally recommend Unity to start with since it is a little less intimidating than Unreal and can get you going.
Both have really solid documentation and there are some tutorials on the web but really, the best thing that will teach you (in my opinion) is just doing it. Find an effect you like from a game and try to recreate it. Then take what you have learned and make cool stuff!
You’ll probably get into it right away since you have an FX background.
If you want to learn Unity, go check out @sirhaian on Youtube and here on the forum. He posts some really awesome Unity stuff and also has some nice breakdowns and tutorials on his channel.
For Unreal, the Unreal Engine Youtube channel has all the basics for Cascade on it which will get you into the UI and workflow. Also ImbueFX has some great Unreal VFX tutorials that are mainly for UE3 but they are fine to follow in UE4. Eat3D has a couple of tutorials as well.
Oh and lastly…this forum is a pretty good resource too
Post anything you want (related to Realtime VFX) and someone here will give their thoughts and advice.