Check this, I have found a solution that may very well apply to you as I had this error also included in the many others:
https://answers.unrealengine.com/questions/1034296/building-ue-427-fails-due-to-missing-physx-headers.html
Check this, I have found a solution that may very well apply to you as I had this error also included in the many others:
https://answers.unrealengine.com/questions/1034296/building-ue-427-fails-due-to-missing-physx-headers.html