https://bugs.winehq.org/show_bug.cgi?id=41075
--- Comment #2 from fjfrackiewicz@gmail.com --- (In reply to Nikolay Sivov from comment #1)
CEF stands for Chromium Embedded Framework. Application is supposed to provide it, and if it does, and Wine is unable to use it or install it, that's a Wine bug.
That very well could be part of the Unreal Engine 4 Prerequisites Setup package that comes with every UE4 game and that package, unfortunately, has its own bug here: https://bugs.winehq.org/show_bug.cgi?id=40807 I am not sure if that package provides the libcef.dll but I wouldn't be surprised if it did.