The menu and the ‘in game’ states use different game modes. The way to transfer settings from the menu to the gamemode currently is to use ‘command line’ options on the URL string. Take a look at the DeathmatchSettings menu widget as well as SetGameOptions in BP_GameMode and look how the Options string is picked apart and settings are set.
If you want clients to have their own settings sent to the server and to be used for them, check out how the PlayerState sends a user’s desired character index and hat index to the server and how the Pawn reads these values from the player state.