This might be caused by something #include’ing <cmath> header, which #undef’s all normal math.h macros, including isfinite(). Unreal Engine doesn’t include this header itself (but some third party libraries do) and hence the issue may not be reproed directly.
While the proper fix is perhaps using PxIsfinite() method in PhysX headers, the short term fix is to make sure that neither you (nor libraries you use) include cmath (or re-include math.h before #include’ing PhysX headers).