I would like to capture keyboard events for a menu
If it’s for a menu - does it mean you want to process said input in the widget? If you make a widget keyboard focusable and grant it keyboard focus, you can override onKeyDown and, optionally, Unhandle what the widget does not need to consume. The rest can be passed to another input enabled actor - whoever else is sitting on top of the stack.
Hard to advise without knowing more. Perhaps capturing it all in the Player Controller and calling widget events is better. Really depends on the scenario and setup.