It seems that you just pointed something really interesting for the ConverWorldLocationToScreenLocation. This is definitely the function being the issue there.
The 3D widgets does not work in “world” mode in 4.9.0
It is working on 4.8.3 with the exact same setup (basic fps template and following this: https://docs.unrealengine.com/latest/INT/Engine/UMG/HowTo/Create3DWidgets/index.html. Just creating the first button as we do not need multiple of them)
I guess that here, the issue is not that it does not appear, it is there, but the mouse does nothing when hovering it etc. Works fine in 4.8.3, not in 4.9.
I will try to see if those world to screen and screen to world function changed lately.