When coding with C++, you can have your own code that compiles and runs as native C++ code, with appropriate calls to the new and delete operators to create and destroy your custom objects. Native C++ code is perfectly acceptable in your UE4 project as long as your new and delete calls are appropriately paired so that no memory leaks are present in your code.
You can, however, also declare custom C++ classes, which behave like UE4 classes, by declaring your custom C++ objects using the UCLASS macro. The UCLASS macro tells the class to make use of UE4's smart pointers and memory management routines for allocation and de-allocation according to their smart pointer rules, which can be loaded and read by the UE4 editor automatically, and can optionally be accessed from blueprints.
