After looking at your project, it appears that Set Focal Point is working as intended. The reason is if you notice, you’re passing in a vector value, which means that the rotation would not change. Set Focus takes in the entire actor reference, which includes the entire transform of that actor.
What you can do is use Find Look at Rotation between the two actors, and then use that to set the rotation of your gun and any other parts of your AI character that you’d like to have looking/pointing at your player character.
Give that a shot and let me know if it works out for you.
Have a great day