UPhysicalMaterial requires the module PhysicsCore and the header
#include "PhysicalMaterials/PhysicalMaterial.h"
As for the component errors make sure you include their headers where they are used
#include "Components/SkeletalMeshComponent.h"
#include "Components/StaticMeshComponent.h"
#include "Engine/GameInstance.h"
#include "Components/BoxComponent.h"
#include "Components/TextRenderComponent.h"
etc