Visual Studio

There is no "big" difference between Visual Studio versions in fact. I don't remember them but you can get the comparaison between versions somewhere on the microsoft website.

The express should do the job for developping with the C++ SDK. In fact, you just need something that compile and link C++ to do so (and any graphical rendering library you want to use) so with Visual Studio Express you have largely all the tools you need ;-)

The biggest issue with using the free version over the professional version is, from what I've seen, the ability to use extensions; namely the UE4 extension, which gives you access to the code drop downs. Its better explained on the Unreal site.

There are a couple of other (non-useful) tools that come with the pro version, but I haven't needed to use those for any project really.