I have just encountered this problem, which I have never gotten before when using this exact method.
When I open a level from a UMG widget I cannot input anything, not in the level, and not the editor controls either, (ie. escape to stop play in editor)?
I was able to reproduce the issue that you mentioned above. However, I do not believe that any of the nodes are working outside of their intended functions. The set input UI only node is what is causing you to lose input capabilities (intended). The node usually sets a target for what UI you would like to have sole control over input. You are then removing the only item in your game that can except input. You could try setting the input back to Game and UI just before changing levels. I believe this will allow you normal input capabilities upon switching levels. I hope that this information helps.
