I haven’t done this myself but it looks like this isn’t built in the officially release version of UE (search for DUALSHOCK4_SUPPORT in the sources; it’s #define DUALSHOCK4_SUPPORT 0).
You’d have to build the engine from source and i think you need to become an actual PlayStation Partner in order to get the necessary headers (pad.h and others) and binaries (LibScePad) - see how WinDualShock.Build.cs is determining their existence.
Also see this thread.