One of the new features of UE4 (in comparison to UE3) is that you can access the world position of a pixel via post processing. I just realized that this makes it possible to limit post process effects to a specific areas of a level. Still you can see the effect from far away, which means the camera/player won't need to actually enter this specific area - obviously that's the main advantage over a separate post process volume.
For this tutorial I decided to describe 2 types of these "volumes" in a volume, spheres and boxes. The material graphs shown output a greyscale image which you can use to Lerp between the original scene color and a post process effect of your choice. In my example that's a simple scene desaturation.
This is the material for a sphere shape. using 3 parameters to define the sphere position, size(radius) and transition hardness.
For a box shape there are 2 different ways of setting up the material. The first one is similar to the sphere setup, defining the box shape by a center point and the (half) length of all 3 sides.
The second one defines the box by 2 opposing corner points. Think of these as the lower, front, left and the upper, rear, right vertices of a box. Please note that the softness parameter needs to be a pretty large value to take any effect, e.g. 2^16.