I had the same problem when my project was using 4.10.
I upgraded it to 4.11, then i added include as:
#include "FindSessionsCallbackProxy.h"
And then I just added module in MyProjecet.Build.cs like:
PublicDependencyModuleNames.Add("OnlineSubsystemUtils");
And voila! Hope it will help anyone out there. I’ve spent hours before figuring our that the upgrading project to 4.11 was the key. >.>