question

It’s possible. You can check this document -- Integrating the PlayFab GSDK into Unreal Engine 4 - PlayFab | Microsoft Docs for the third-party case study about integrating the PlayFab GSDK into Unreal Engine 4. Besides, they also provide the UE4 GSDK plugin in the repository -- narthur157/playfab-gsdk-ue4: A plugin for PlayFab's GSDK integration in UE4 (github.com), this plugin provides a simple GSDK integration for Unreal Engine 4. You can refer to the above information to implement your own UE4 Multiplayer Server.