Yep that’s exactly how it works. You open PhysXLab, Import 3D Mesh, it takes .obj files I think (maybe .fbx too? Dunno off hand) then you set up your fracture settings and go, then export the APEX files for use in UE4 as a DestructibleMesh (or at least, that’s the theory, I haven’t done that part yet because I’m still trying to get my fractures right).
If you only need a wall to break down without having “supported” pieces, or multi-level breaks, you can just right click in UE4 on a StaticMesh in the Content Browser, and click “Create DestructibleMesh”, and it will open the Destructible editor which will let you fracture the mesh and play with the settings.
So if you want you can actually build your destructible walls by having the broken part be static, and having the breakable part just crumble in one go, and be a separate piece.
For more complex pieces that are supported/multi-level that you can chip pieces off, you’ll need the PhysXLab tool, though. NVIDIA has tutorials for it on their site.