well game engines could handle what they are programmed to handle and if you tried to import a 4 sided polygon into the NIF format, either the exporter will triangleize them for you or it will give you an error. I dont know why game engines primarily use 3 sided polys, maybe its a technical thing. You can always model something that has a mix of both, or even 5+ sides, than there should be a menu that can automatically triangleize them, depending on what 3D package your using.