You’ll have to include the PhysXVehicles plugin into your uproject file. The header file you’re looking for is under Engine\Plugins\PhysXVehicles\Public. Once you’ve included the plugin you should be able to include the component and access all of its member variables and functions.
Keep in mind that Intellisense sometimes thinks code is wrong when it isn’t. The best way to determine if its wrong is to build and watch the Output window for any compiler errors.