Will someone be kind enough to remind me where in UR4 the initial UI blueprint widget gets set from ?
No, wait. Got it !
For my future self: Open level blueprint
You can set your widgets basically everywhere, perhaps you meant the HUD widget, which can be assigned in your world settings, and can contain widget related code, but is not required. Usually the first widget is something like an intro screen, or a loading screen, or a login screen widget, then later in-game the player controller could be used to create the widget used to display the main game user interface. However, you could also use the player character for creating it or blueprint components you attach to the player or controller.