You can use any library whatever you like, but it is recommanded to use UE4 API foremost and use libraries only if you want to add something that UE4 don’t support or what it has but is not suitable for your game needs. Note that UE4 it self is using 3rd party libraries
If you implement library it is recommanded to bland it with UE4 APIs, for example if it’s online service then wrap it with OnlineSubsystem, it’s randerer then make RHI you got custom physics system make a component that apply it to actor. UE4 APIs was designed to in the way that you don’t need to change a line of game code to make it build on any platfrom that UE4 supports so you should continue that convention.
UE4 has custom build system and adding library to it is little diffrent and bit overcomplicated then it should be. Here you have tutorial: