Hey Loucsam, thank you very much for purchasing the Modular Menu System!
Your approach sounds fine. First you add the MMS to your project within the Epic Games Launcher. Then after opening your project you can copy the MyEventHandler, give your new file any name you like, and then modify and extend it however it pleases you. However, using your own version of a custom event handler should have no impact on whether the menu is shown or not.
So there might be another problem. If you follow the sample level shipped with the MMS closely and use exactly the same nodes in your own level (BP), does it work then, is the menu shown?