For adding the HUD to the viewport, my “On Begin Play” in my character’s BP is set to create the HUD widget as the very first thing and add it to the viewport. I don’t have any sort of input mode setting.
This might be one of my problems with following your example: my HUD is not meant to be directly interacted with by the player aside from scrolling through inventory slots (which automatically draws the item in the selected slot without requiring any clicking). The scroll wheel doesn’t control anything else in the game unless the player is in a menu screen.