Turns out that asset must be like auto WidgetAsset = ConstructorHelpers::FObjectFinder<UUserWidget>?
Something like that?
In constructor:
auto WidgetAsset = ConstructorHelpers::FObjectFinder<UUserWidget>( TEXT( "WidgetBlueprint' " %PathTo% /BP_Widget_Menu.BP_Widget_Menu'" ) );
if ( WidgetAsset.Succeeded() )
{
UDepartMenuWidget_Base *Widget = CreateWidget<UDepartMenuWidget_Base>( GetWorld(), WidgetAsset.Class );
WidgetComponent_DepartmentMenu->SetWidget( Widget );
}