I just started creating an online game. My only question is if I should set up the multiplayer at the beginning of the dev or I can add it later.
It is considered best practice to do it already during development. This is important because it makes your development decisions correct in the beginning and sometimes there will be too much things to fix and you can get lost. You can develop a portion of your game and once you are satisfied with the single player experience of that portion, immediately do the multiplayer adaptations as early as you can get.
Tom Looman has an excellent course at Udemy for Multiplayer development with C++ in UE4, I did and the concepts there not only makes clear how to do it in C++, but would even make sense on how to do it in blueprint only. If you have no C++ experience I recommend get it, because it is easy doing in C++ aswel, but if things go wrong with code, the C++ knowledge comes handy.