"Missing or build with a different engine version"

I’m building a Plugin with Unreal Build Tools (BuildUAT.bat) and if I build against the installed Engine, everything works fine.
If I download the source for Unreal Engine from Github (as a .zip) and run Setup.bat and then build against that source, the build executes successfully but when I try to load the plugin in the editor, I get the following message:

“The following modules are missing or build with a different engine version. Engine modules cannot be compiled at runtime. Please build through your IDE”.

Why?

I need to be able to build against source in a build pipeline.

For some reason it seems that your plugin was not built along the rest when you built from source.

This plugin you are building is a custom one or from marketplace?
Did you put it in the engine folder of your UE source before doing the solution generation, setup.bat etc?
Which plugin is it? does it show up when you open your visual solution?