When I say “cylinder” I mean a collision shape that is actually a parametric cylinder, such as used for wheel colliders.
There is such a shape defined in Engine/Source/Runtime/Experimental/Chaos/Public/Chaos/Cylinder.h
(There is also a Engine/Source/Runtime/Experimental/Chaos/Public/Chaos/TaperedCylinder.h btw.)
Now, these don’t have simple actor components that you can add in the Blueprint editor, but the Chaos Wheeled Vehicle does seem to use them, so presumably they work when you use them in C++. I have not tried it, but if I needed a smooth rolling cylinder, I’d check out what the WheeledVehicle does with these, and go from there.