Can you show me where you create the widget and add it to the viewport?
On a hunch, does the menu widget, by any chance, rely on a GameMode set for that particular sublevel in its own World Settings?
Keep in mind, that Unreal only uses the GameMode (and thus Player Controller etc.) set in the root level.
It can’t be switched until you’d transition to a different root level by calling OpenLevel.
Note, that while you can’t switch GameMode or PlayerController when loading sublevels, there is a custom Pawn Handling component to mitigate this limitation and allow Pawn settings on a per sublevel basis - see example map number 15 and this part of the documentation.