Wheels can use any size or shape collision, but for best results (especially for high speed vehicles) you will want to use a simple sphere collision. Cylinder collisions are currently not possible in Chaos, and a convex Cylinder will cause wheels to bounce at high speeds.
Collision Settings for Skeletal Meshes Attached to VehicleMesh
Skeletal Mesh Constraints
When utilizing a Skeletal Mesh in your vehicle setup, sometimes you may want to use physics constraints. However, please note that any constraint typically applied to the root of the skeletal mesh should be instead placed within the vehicle blueprint and linked to the VehicleMesh component. Attempting to set up skeletal mesh constraints in the usual manner may lead to unexpected behavior, as illustrated in the following video: