It's a video game engine. It's got a ton of optimisations and tweaks to make it run in realtime, but if you're making a movie there's no reason not to spend hours rendering each frame. You don't need to optimise meshes at a distance, or use real-time raytracing with noise reduction rather than just simulating a thousand bounces or limit yourself to 4K textures, you can use as many particle effects and simulations as you'd like. You can't do this with a game engine though - Unreal does have the ability to render out video but it's not going to be the same fidelity.

I didn't think they were actually using the video straight out of the Volume though - my assumption was they'd just use it to make sure the lighting reflected on to the actors nicely and then redo the CGI elements with something else.