The spline is in local coordinates. If the first point on the spline is at the origin, then you will indeed get 0,0,0 back.
To rotate a local coordinate / vector / orientation into whatever world space the Spline uses, get the actor that contains the Spline, and apply its transform to the point/vector/orientation.
For direction of the spline, look for its Tangent at a particular point.
You’ll probably want `“Find Direction Closest to World Location”:
(This also does world space transform for you)