Currently, there is no way to set capturing of the mouse in Blueprints aside from responding to a Pointer Event.
This makes it impossible to capture the mouse unless you’re already responding to a mouse event, which sometimes is simply too late (especially when the mouse is over a different widget, in which case even this becomes impossible to handle through any Blueprint means without creating a ‘full screen mouse shield’).
It would be nice if the Widget Blueprint Library included ways to set mouse capture. Also, as a side note, it’d be nice to be able to set mouse capture on Key events as well, i.e. OnKeyDown. Currently this results in a crash.