Summary :
I built Unreal Engine from source with VS2015.
I built Physx3.3 from source with VS2015.
Yet when I compile, I get the same fatal error than in the original question.
edit : Px.h is located in \UnrealEngine-release\Engine\Source\ThirdParty\PhysX\PhysX-3.3\include\foundation
Tried adding the include directory from Physx in the project properties C++ directory, to no avail. I don’t know what to do now…