Yes, if you use it as homogenous matrix, so it looks like this
x1 x2 x3 0
y1 y2 y3 0
z1 z2 z3 0
0 0 0 1
So your first constructor is building the identity matrix, which would be
FMatrix A = FMatrix::Identity;
The second constructor where you copy a 3x3 matrix. In Unreal you cant directly do that, but indirectly using the FPlane constructor
FMatrix A( FPlane(a[0][0], a[0][1], a[0][2], 0),
FPlane(a[1][0], a[1][1], a[1][2], 0),
FPlane(a[2][0], a[2][1], a[2][2], 0),
FPlane(0, 0, 0, 1));
Or you can set it afterwardst
FMatrix A = FMatrix::Identity;
for (int i=0; i<3; i++)
for (int k=0; k<3; k++)
A.M[i][k] = a[i][k];
The third one is obviously the equal operator
FMatrix B = A;
The vector multiplication is like seeing the FMatrix as a Transformation applied to a vector. So in unreal it is
FVector w = A.TransformVector(v)
You can look at the FMatrix API to get more information