In 4.12 Preview 1, when using PIE the mouse doesn’t stay in / lock to the viewport - so on a dual-screen setup if you aim far enough to the right / left the mouse appears on the other screen, and clicking results in loss of focus on the editor.
Hello,
I have been able to reproduce your issue, and have entered a bug report (UE-30256). Thank you for your report.
Have a great day
Can confirm this is resolved in 4.12 Preview 3
Thanks!