Reviving this topic after 6-7 years as I had similar issue which I managed to resolve… to some extent.
In order to allow vertical movement in the Z-Direction, you need to set Movement Mode to Flying (make sure that the Can Fly boolean in the Character Movements component is set to TRUE. Then use the Set Movement Mode node to change the mode to FLYING.
The only thing is that the character literally will be flying and if you want to use this for climbing ladders for instance, you just need to use a boolean so that if it is:
TRUE (if overlapping with ladder) → Disable X/Y Movements & Set Movement Mode to Flying
FALSE → Enable X/Y Movements & Set Movement Mode to Walking.
Hope this helps