(Hmm, looks like my previous reply didn’t appear, trying again)
That’s because that overlap event is called when the pickup overlaps something, not when something overlaps the pickup.
To do what you want, go to the Components tab, click the mesh (or collision shape) you have for your pickup, and in the details panel click Add Event: On Component Begin Overlap. A new event will be created in the event graph, plug it Destroy Actor (and delete the event you currently have).
Also, be sure that whatever component you’re using has collision (if it’s a static mesh), and that its collision settings have Collision Response: Pawn set to Overlap (also in the Components → Details panel, you can just change the collision preset to OverlapOnlyPawn).