There was a breaking change in React-Native 0.40 where the headers have been moved to React namespace.
If you use a version prior to 0.40 you have to change 'React/RCTBridgeModule.h'
to 'RCTBridgeModule.h'
inside of RCTFBSDKAppEvents.m
See here for more info : https://github.com/facebook/react-native/releases/tag/v0.40.0
Or you can upgrade your react-native version: https://facebook.github.io/react-native/docs/upgrading.html