So this is how you bind your delegate on SelectionChangedEvent:
USelection::SelectionChangedEvent.AddUObject(this, &AMyAcgor::MyFunction);
MyFunction(UObject* InObject)
But of course this will now trigger every time the selection is changed. So i need to find a cheap and clever way to only react if MyActor was deselected.
There is also IsSelectedInEditor() which you can override, but this will be called even if you move the actor.