Hi,
I’ve faced the same issue with the same class. My project was compiled successfully but there was that type of linker error in VC 2022. Apart from regural UE set ups for new modules(.Build.cs or ,Target.cs), make sure that Visual Studio sees your include files. Right click on your project -> Properties, under Configuration Properties find VC++ Directories -> General -> Include directories. Make sure there is file path with your .h included. If not, then add it. Then Apply, OK.
Thanks to @Berkay_Tuna, this fixed my compile errors and thanks to @TeryKnop, the error “cannot open source file PlayMontageCallbackProxy.h” was pretty annoying even though the project compiled successfully! Now it’s error free