Looking at the source, I can see why. The bundled python source directory structure is modified from original . If that is the expected behavior than it would be nice to document it.
It’s assumed that python include files are in UE_PYTHON_DIR/include. That isn’t the case with default python directory structure. The include/python3.7 is the correct directory. A better way is to call python-config --includes to get a list of include directories.
Additionally, it’s assumed similarly for the libpython to be inside the UE_PYTHON_DIR/lib, again that is incorrect. A better way is to call python-config --libs or even better, python-config --ldflags