Answer still relevant with Unreal 5.3.1 - I think the tutorial - building your first level needs updating, as the video shows that the avatar can be controlled out of the box, but I couldn’t move the character without first doing what @th3faceless recommended. Thanks buddy!
Update —
I discovered with a new vanilla “Third person character game” project, when you hit play and the game loads, you have to left click onto the character itself to then gain control of it.
i.e. after hitting play, left click on the third person player avatar and then the WASD keys will control the character.