Almost all Sony first party studios use custom engines, even when they support PC. Most Nintendo first party games are custom engines. The majority of Microsoft first party games are custom engines.

Ubisoft use custom engines, EA use custom engines.

Call of Duty is a custom engine (derived from idTech)

If you go to the GDC YouTube channel ( https://youtube.com/c/Gdconf ) you can see the range of game specific things that these studios are working on that using an off the shelf engine is limiting

I also recommend looking at the presentations on http://advances.realtimerendering.com/

Ubisoft have about 5 engines themselves. When Microsoft acquires Acti-Blizz, they'll have close to a dozen engines under their umbrella as is, I think.

UE being picked up by a AAA studio is news, because gamers associate UE with extreme fidelity graphics. A studio using a proprietary engine is boring because it won't matter one bit for 99% of people, and is modus operandi, basically.

Edit: remembered SteamDB has a rough breakdown based on manual rules, so a lot of engines aren't picked up, but it's still interesting - https://steamdb.info/tech/

Proprietary engines tend to be more common on consoles I think - Steam has a lower barrier to entry overall, so it doesn't filter out the smaller projects as much (which are more likely to use an off-the-shelf engine).