The short answer is yes. You can and should use WP Rocket in combination with built-in caching offered by your managed hosting company to unlock additional performance improvements.
A lot of managed WordPress hosting companies, including WP Engine, SiteGround, and Bluehost, have their own caching plugins built in.
WP Rocket plays nicely along those built-in caching options provided by your managed hosting provider while helping you get additional performance benefits with features like CDN, minifying files, lazy loading, smart cache preloading, and more.