It’s annoying, yes. If you need keyboard/gamepad navigation, do not use the Button widget directly on your screens/windows/popups, period. The same goes if you are making any game with more than a couple screens: manually setting up each button scales very poorly and going back and re-styling them is a major time sink.
Create your own custom button by creating a Widget Blueprint that implements and forwards the events you need using dispatchers (you can use a button as the root widget to re-use most of the functionality) and use the PreConstruct event to make it behave as WYSIWYG in the editor. You can then make all your buttons follow the same style rules, already contain the text field (with the text being set using an editable property) and most importantly: you can add the focus received and focus lost events to it and display focus as you see fit. You can even use animations instead of brush swapping for button state changes.