Brent I don’t know how correct I am, only going from my experience and im no programmer at all. Out of the box neither physics are setup and you need to add either one to your project. I have only ever built the engine using physX but I believe the method is the same for Bullet.
Open up <Your Project>\buildFiles\config\project.conf and add
includeModule( 'bullet' );
or
includeModule( 'physx' );
then run generateProjects.bat, this adds the proper files and include directories etc
Set the environment variables etc for your chosen sdk and rebuild.
As for the problems its something to do with threading Tom from sickhead games made several post about it, this was about a year ago so not sure what the situation now is.
I agree with paul, i don't care what is used, i just went with physX as i have experience with it as an artiest.