You cannot zOrder elements of a Vertical Box in blueprints. zOrder is a Canvas slot property (and viewport’s - but that’s not the case here).
Consider using a Canvas as the container here - then you can directly set zOrder of its children. This will give you plenty of granular control over positioning since you have access to anchors here.
You could even wrap the left / right arrows with a Horizontal Box and the up / down with a Vertical Box - you can then change the zOrder of the H/V boxes in the canvas - so the appropriate set of arrows pops to the top.
For Overlays it’s the hierarchy that dictates what renders on top.