1l2Hawk is right -
Basically UMG is a component, which isn’t directly inherited by the UWorld. That being said, it works independent of the UWorld. Meaning like other UObjects, its just a component of the UE4 Engine. The difference between Objects & Actors is that actors belong to a World. So without getting to crazy, you can only communicate indirectly using the Actor which owns the UMG object to the world . As pointed out by 1|2Hawk, one is your Player Controller. The PlayerController is inherited by the world, and has world context so it can communicate properly with other components which are inherent of the world.
I could be wrong but that is the gist of it.
Hope that clears up any confusion!