Ah, I see which step you are missing than. I believe the part you are missing is setting your game mode in the world settings.
Just to be sure I’ll outline the steps needed to set it up.
First create your pawn and gamemode like so:
Next in the gamemode set the default pawn:
Next open the World Settings window:
Now by default it will open a new window that will be a tab with your details panel.
In this new panel set the game mode to your game mode like so:
Now when you press play your custom made game mode will load and your defined pawn should spawn.
The other way is to also set the default game mode to be your custom game mode in the project settings:
That should about cover it.