Some sanity checks: Does the SIOClientComponent method work?
I’m assuming you’re following the guide https://github.com//socketio-client-ue4#setup which should work, but I haven’t tested making FSocketioNative across module boundaries. You can try adding SOCKETIOCLIENT_API infront of https://github.com//socketio-client-ue4/blob/master/Source/SocketIOClient/Public/SocketIONative.h#L15, let me know if that works.