I found the solution. For some reason, the game doesn’t package with Physx dll files. All I had to do was take them from (UE4 Engine Directory)\Engine\Binaries\ThirdParty\PhysX\Win(architecture)\VS(version)\ and then copy them into the corresponding directory for the packaged game: (Packaged Game Directory)\Engine\Binaries\ThirdParty\PhysX\Win(architecture)\VS(version)\
Here is a link to the answer where I found this solution: Running a server: Failed to load module 'PxFoundationPROFILE_x64.dll' - Programming & Scripting - Unreal Engine Forums