Retainer visibility defaults to Visible, if you have a full screen retainer and you’ve yet to adjust the setting, the mouse click tests positive against it. You can either pass the input by returning Unhandled for the widget hosting the retainer. Or set the retainer to be Not Hit-Testable (and any other widget in the hierarchy that could be in the way).
Those 3:
Can consume your click by default before it gets to the component.
There can be no order for a world space widget comp and another widget living in screen space. They both live in different worlds, so to speak. The 2D UI will always have a go first.
There is also the ancient HUD class who can plop down old-school mouse hit boxes. Afair, it renders on top of UMG.