You should be destroying the component, not the widget. Or are you reusing the component? Asking as I see you configure the component with nodes rather than:
Generally speaking, an orphaned dereferenced widget will get scooped by Garbage Collection. You can run Get All Widgets of Class to debug the number of widgets that are kept alive. If they do not go away because of the component dependency, you could try calling Collect Garbage manually.
The longer I look at this, the stranger it gets. Never seen an approach like this. You’re using the component to bring World Space widgets to life and then orphan them on purpose. Brilliant & mad at the same time! 