One other reason to use physx directly is to get some helper functions that are not exposed to UE4 physics natively. For example these can help you as you can add forces directly in local space etc:
http://docs.nvidia.com/gameworks/content/gameworkslibrary/physx/apireference/files/classPxRigidBodyExt.html
You can move between local and world space fairly while using UE4 physics though, those physx functions just take away the need for you to do the conversion manually. Since I mentioned this, those conversions can be done easily by using FTransforms TranfromVector & InverseTransformVector for forces and TransformPosition & InverseTransformPosition for locations if you prefer to stay on UE4 api.