As a hypothetical situation a developer may have licensed Unreal Engine 3 and started developing a game on that 3 years ago, before PS4 Pro or Xbox One X or Switch even existed.
They may have evaluated Unreal Engine 4, but decided that it was not necessary for what they were planning to do.
So they start building a game for that engine and SDK, they code their game, they modify it, they purchase plugins, modules and middleware that is compatible. They modify these to suit their needs.
Then out of thin air, new consoles appear and Unreal Engine 3 doesn't support these new consoles, nor does the middleware. In fact, at this time neither does Unreal engine 4.
So you carry on making your game, after all switching to a new engine means redoing a huge portion of your game again, just to create the same result.
More time passes, more work is done and the consoles come out, neither engine supports these consoles.
More time passes and only the latest engine supports the new consoles.
So you don't get X , Pro or Switch support.
That's how it happens and that is why at this point, people are still hopeful for PS4Pro and X support, but it cannot always happen.
Especially if your game launched months ago, there may be very little financial justification or resource available for going back to a game and adding support.
Even if we aren't talking about Unreal Engine , we have similar situations with other games, Kingdom Come Deliverance is using a very of Cryengine that doesn't play well with HDR, so the game was never developed with it in mind. It's not the case of clicking "check for updates" and updating to a newer version of Cryengine, there are often huge ramifications involved with switching engines.
Just for reference, Hellblade was released on PS4 in August 2017.
Unreal Engine 4 did not receive any support for Xbox One X until August the 17th, the UWP SDK did not receive support until October 2017, now with production lead times, testing, certification etc it's quite possible that a game that uses that Engine may not receive support for Xbox One X til maybe now.
Here are some Xbox One games that were released before support arrived using Unreal Engine 4 that haven't got X patches yet
RIME
Ruiner
Snake Pass
Styx 2
Friday the 13th
This is why there is still an expectation that a game might not support X or PS4 Pro.