How do I set a vector param in Blueprint?

You need to transform your material instance inside your ConstructionScript.To do that use a Create Dynamic Material Instance,create a variable Material Instance.Set it with the Set Material node ( create a variable to your mesh for target slot) and link the variable Material Instance to slot Material.
Now get out of constructionScript and go to EventGraph,inside it you can take your Material Instance variable and link it in the Set Scalar Parameter Value ( target slot).

Hope it helps.