Can UE4 play a hosted .wav file? Either using BP or C++?
So far as I know there is nothing in BP for doing this easily.
You can do this in C++, but most implementations will be platform dependent.
I recommend the CWave project: CWave - A Simple C++ Class to Manipulate WAV Files - CodeProject
You will need to set up buffering in chunks from the server yourself.
Streaming wav is nontrivial because of the size of the files and the necessary size of the buffers.
If there’s any way to avoid streaming wav, do it!
Consider using irrKlang and streaming OGG instead.
I don’t think it can play a hosted wav (on a fileserver). 
No, you’ll need to absract the hosted wav as a remote file. Read the remote file as an istream with a 512 char buffer, and maintain 4096 chars of the stream in advance. Then point CWave to that buffer 
(i’m sorry that still isn’t particularly specific but what you’re wanting to do isn’t a simple task. maybe i’ll hammer out a full solution next week)