This got stranger. I found some notes from on the forums.
Apparently, calling Set Input Mode UI, or Game and UI or Game no longer works except if you call it from inside the PlayerController. Even setting the reference to the PlayerController does not work correctly if from the UMG.
Setting an Event on the PlayerController, and have the UMG call the Event and pass itself to the PlayerController at the end of consrtuct seemed to fix the problem of having focus, and can again get Gamepad events in the UMG.
Edit: The events are not in the OnKeyDown, they are getting handled under the hood somewhere, with DPad changing highlighing on the buttons. It has now hyjacked handling Controller input.
The Controller bottom face button now simulates a mouse click.
But, the Hover, UnHover shows a dotted line around the bounding box of the Buttons instead of switching to the images to Hovered and back to normal.
4.11 really messed up the UMG with focus. Especially since it didn’t support Gamepad and the mouse enter and leave functions were private, many people will have their own solution to Simulate Button Hovers and Clicks so the GamePad can navigate.