Okay so I’m not sure if this will work or not but it might. Essentially, you will need to play around with the different Montage Functions in your game in order to get the exact desired functionalities from them. For example, I don’t know if you should stop or pause the montage. Your set up is almost there, except you probably do not need the Set Play Rate Node as it refers to the current animation being used by the Locomotion in the Animation Blueprint and not the Montage being played and the Montage has it’s own Play Rate Input. Now since I don’t have access to a physical example at the moment I cannot test this out for myself nor do I have the time to do so right now but I hope this will send you on the right path.
If you want functionality of when the Key being pressed is released, then just drag off the “Released” execution node and it will fire whenever the Key is released.