I have verified this seems to be a bug specific to Mac version of UE4.
I rebooted over to Windows, replicated my code, created the new blueprint and my event shows up just fine in the Event Graph when I right click. On Mac, this isn’t working at all for BlueprintImplementableEvent or BlueprintNativeEvent.
Hopefully Epic can fix this in an upcoming version. Seems like the safest thing is to create UE4 games under Windows and forego Mac OS. I’ve been having various odd bugs on the Mac OS platform unfortunately, so it seems like Mac version of UE4 needs some love.