Widgets in the world act different to ones attached to camera. Those will act normal, only those attached to camera, like a HUD will have Depth Disabled. And dont forget in Widget attached to camera to set depth etc. 0 far 100+ closer…
EDIT:
For HUD Widgets - Set to Translucent and check Render Custom Depth Pass and Set your Translucency Sort Priority (again ) far away 100+ higher is closer…
For World Widgets - Set to Masked and check Render Custom Depth Pass (no need to set Translucency Sort Priority - 0 is fine)
This should help…
UI-UMG in World will now fall behind objects etc.
And your HUD will be depth disabled - and over everything…