I just learnt from the UE code in the dsp library to see how it worked in UE4 but
I have done DSP coding before. I would recommend finding a book on Audio programming for C++ if you are serious about it. UE4 is pretty standard in how it implements DSP and has its own DSP library to help you so downloading the source is good. But I have never seen any step by step tutorials specific to UE4.
What C++ code did you add to your synth component to generate the sound in the OnGenerateAudio method? The Default synth component wont make any sound without a few modifications - to get the oscillator to work there is a #define that has to be set to 1 and the comment in the .h file tells you to add the dsp path to the project (I forgot exactly what because I never use that code and delete it immediately!). If you dont want to use their oscillator the simplest thing to do is generate noise - In the OnGenerateAudio method make the OutAudio[Sample] = a random number between -1.0 and +1.0 in the for loop and you will hear white noise.