You don’t need to do anything with it, the whole point is to make the Unreal Editor figure out what dependencies you need to use the widget classes (UMG) and make the edits to the project for you. You can delete the subclass once it’s all set up and compiled, its only purpose is to make the Editor edit the Build.cs file for you to add the appropriate library reference.
You can also add the library reference yourself, for libraries that you know that you need, in your Project.Build.cs file.
PublicDependencyModuleNames.AddRange(new string] { "Core", "CoreUObject", "Engine", "InputCore" });
Add whatever libraries you need to link with to this set.
If you don’t know which classes live in which libraries, is why using the editor as a shortcut is convenient 
You can also look up the class in the documentation:
https://docs.unrealengine.com/en-US/…get/index.html
And see that it requires the module “UMG”