The same goes for the entire framework. Eventually you may need your own pawn (already done, it seems) or a player controller. If you do not supply these, defaults are used instead. If you do not provide your own Game Mode, a default one is used.
You already have a custom Game Mode and even assigned it a non-default pawn, edit that blueprint to assign a game state class. You will need to ensure that you actually use the Game Made, too.
You could do it here:
You could do it there:
And also like so:
There is a project-wide setting and a world override for this level.