How to change zorder of WidgetComponent for 3d HUD?

Make it the closest thing possible to the camera. The default near clip plane in UE4 is 10cm. So, leave your widget 10cm from the camera. Or 10.1 if it gets clipped.

ZOrder won’t make a difference. Since it’s being rendered in the world, as a textured plane mesh, it’s ZSorted with the other meshes. ZOrder would only work if your widget was in Screen space, with other widgets.