Strange. Just took a quick look through UCharacterMovementComponent::PhysFalling() and the only things that should be relevant are the Friction and Braking Deceleration, assuming here no root motion and no funny gravity (i.e. gravity is -Z). The Z component of velocity will change with gravity of course, but lateral velocity should be maintained (with the default settings).
So I just threw together a test, and it did not go as expected.
Because when I claimed with default settings there should be no lateral friction or deceleration I was not looking at a fresh CMC. My bad!
Default value for ‘Breaking Deceleration Falling’ is actually 1500.0, with that changed to 0 and this setup:
I see:
Which looks better 