This is a tip for other users that maybe have the same problem I had and how to fix it.
When I created the WinArea c++ file a new visual studio opened and the files are created in the project file but not visible in the project files tree in visual studio. Restart, rebuild nothing worked.
When you right click on the CoopAdventure.uproject file in the Windows explorer , you can choose “Generate visual studio project files” After I did this and rebuild the project again, it was fixed and the WinArea.h and the WinArea.cpp where in the files tree in visual studio.