I answer myself!
I just had to set the saturation of all the materials in Unreal to zero. It didn't take that much time indeed.
Then in Aximmetry I could set the host either to black and white or colour directly.
So all solved!

Hi

You could also just desaturate the whole UE output straight in Aximmetry composer or do the same thing UE using the post process volume if you for example wanted to work on the scene and also get to monitor it post desaturation. 

Emil

Hi Emil,
Thanks for your suggestion!
The fact is that in UE I have set a screen that I want to keep in colour. 
This:

https://www.youtube.com/watch?v=yHEGoVNSCiI

So, if I desaturate the whole UE out of Aximmetry, also the screen contents would be in black & White.
That's why I didn't know how to do it, to get this sort of Sin City effect, where some contents are in Black & White, and others in Colour (inside the same UE).

That's how I decided to desaturate materials in UE, so I could keep whatever I wanted in colour.
Then in Aximmetry I would decide what to desaturate or not individually.

Regards!!

Oh ok true! Now I understand your decision :) Just out of curiosity thought of ways to do it without nees to alter all materials. Not sure if there is a way to exclude the screen materials from a post process volume, that could be one way. Onewould be by using several post process volumes with priorities so that the whole scene has a ppv with desaturation and then additional small ppv's without desaturation on them covering just the screens and priorities set to override the one ppv covering the whole scene. In Aximmetry it would be also possible to similarly put 3D masks where the screens are to exclude those areas from the effect if the desaturation was done in Ax composer. But that was just some thoughts, great that you managed to solve your puzzle :) 

Sin City looks amazing btw! That's a cool idea :P

Emil