Hello,
One of the big distinctions here is that the Default Pawn is a Pawn with a Floating Pawn Movement Component. (Listed just as “Movement Component” but if you hover over it in the default pawn you will see it’s full name)
Whereas the Character is a Pawn that has a Character Movement Component (Which implements a ton of functionality)
You can see the hierarchy in the class viewer:
So for you to use ‘Set Gravity Direction’ you need to do it inside of a Character so it can reference the Character Movement Component.
You cannot add a Character Movement Component to a Pawn though.