Hi, I have looked at this issue and determined it is working as intended (by design).
The keyboard arrow keys and the gamepad d-pad are hard coded to be used for UMG navigation (plus some other buttons like enter/space/…). Basically the button or other widget that has focus in the viewport eats the input before it gets to the widget blueprint overridden OnKeyDown function. Should you want to use those keys/buttons, you will need to do your logic in On Preview Key Down as illustrated below/attached (but need to return Handled instead of Unhandled to eat the input);
I hope that helps. Cheers,