The associated screenshot demonstrates what bringing a “blocking volume” into my scene creates. I have an actor blueprint that contains a Box Component which (regardless of configuration options) cannot replicate what the Blocking Volume class does.
In the screenshot you will see that both the top, and interior, of the Blocking volume are flagged as walkable. In my blueprint however, configuring the box component at construction time will not affect the navmesh at all. Instead of receiving walkability data on the top of the box, I only get the walkability from the interior of the box.
Unfortunately it is difficult to describe the fail case in a screenshot because there is no data to display (no navmesh walkability is created.)