How to Show Mouse Cursor without losing mouse capture?

Your solution does indeed work for some use cases.

The solution that I posted is a bit more involved, and will work in 100% of use cases. For more details see the tutorial request link, it contains the entire problem set and a link to a blog explaining some of the edge cases as well as a video demonstrating some of the other related problems and how to fix them.

If your solution works perfectly for your game, there is no reason to make it any more complex. However if you notice that it’s not working the way you want, then you’ll want to look at my solution for the fix. (TLDR showing and hiding the mouse repeatedly will forcefully recenter the mouse due to CommonUI, and my solution is required to fix that).

Hopefully Epic provides more configurability to CommonUI in subsequent versions but as of 5.3 my solution is the only way to truly control the mouse.