Can I combine external/3rd party js/css with this plugin

You can but it depends.

For example, you can load external js files such as jquery that are linked on cloundflare or google cdn, but you cannot use it for google adsense or other services which require those scripts to load from the origin.

The option to add external domains, is on the Developers tab.
Bare in mind, it only works for code that has been enqueued properly via the wordpress api. It doesn’t capture scripts injected directly on the body or header without enqueueing.
https://www.ads-software.com/plugins/fast-velocity-minify/faq/

Do you know if it’d work with 3rd party plugins like Ultimate Member, etc

Ultimate member should be no problem.
It can merge any scripts which are enqueued properly in the header or footer via the wordpress hooks system AND that have the same domain as your home url.
In addition, as explained, you can add other domains to the list so they too will get merged.

The only issue, is to determine which external scripts can actually be cached locally.
Most add networks, pixels, analytics, tracing codes, etc, need to load from the origin server and cannot be merged.