sorry for not checking back sooner and thanks for your effort.
I did some more testing and found out:
Even if the menu does not have any widgets at all and also does not have a canvas the problem still persists. Only hiding or collapsing it allows for mouse messages to reach the actor in the world.
Extensively clicking on the actor lets it receive OnBeginCursorOver() and OnEndCursorOver() sometimes, but never OnClicked().