The BP is a bit hairy to post in full.
In Character Event Tick I calculate desired direction and call Set Actor Rotation. This works and can be seen visually.
In Animation Blueprint, in Event Update Animation, I call Get Actor Rotation on stored reference (or Get Owning Actor, I tried both). I draw debug arrow for both directions (one in Character Blueprint and one obtained from Get Actor Rotation in AnimBP) and can see that character one is correct (aligned with character rotation) and Anim BP is identity (pointing +Y) and unchanging.
This was need to calculate locomotion angle for blendspace. I eventually just calculate it in Character Blueprint and access it in AnimBP to pass it on to blendspace. This works and might just be a better solution overall.
I am just curious why is the rotation not reflected in Animation Blueprint.