The box bounds are always an Axis-Aligned Bounding Box (AABB) so the shape that is drawn is in fact correct and expected.
AABBs are commonly used in game engines for performance reasons, but as the name suggests they are never rotated and always aligned with the world axes so depending on the orientation of the object they can cover a much larger area than the object itself.
What you are probably looking for is an Oriented Bounding Box (OBB) but I don’t think there’s a built-in Blueprint function to retrieve those, you may have to calculate the box yourself.