For the pin to be exposed like in my screenshot, you need to set the variable as “Instance Editable” and “Expose on spawn”. You can do that when you select the variable, in the details panel, in the BP. So, your “Pawn” variable of type BP_SFR should be exposed on spawn in your HP bar BP. Once you do that, you might have to refresh the Create Widget node (right click - Refresh node). The pin should then appear and you can now connect the self reference.
You can leave the Owning Player empty, it’s not required.
In my case my pawn has a custom made health component which handles all health functions, which is why you see the Health node in my screenshot. In your case, you might not have that, so if in your BP_SFR class you have two variables, one for the Current Health and one for the Max Health, you will have to use those.
I’m not sure why you can’t connect the output of Create Widget to Set Widget, I would have to see more of the setup. But as long as your HP Bar widget BP inherits from User Widget it should work.
Let me know if it works.