It seems to be a bug
If I make the ‘initial click’ on the Viewport - after 2s the mouse should go invisible but it doesn’t until I move it for 1 pixel
If I don’t make the 1st click - it works fine
“Set Input Mode” to whatever doesn’t change anything
So basically it won’t disappear until you move the mouse after the ‘Show Mouse Cursor’ was disabled - I consider this being a bug, you may want to issue that to Epic Games using their reporting system