Sad thing I don’t have a controller to actually test it out for you.
Did you try to set the widget focus or the user focus when you construct it before you play the Sound as a result of the hover event? Including setting the Input mode within your Main Menu to ‘UI Only’?
Instead of only asking for ‘Has Keyboard Focus’, try to ask for ‘Has Any User Focus’.
Instead of using the on hover event from the button, you could try getting the button reference, connect it to a branch where you ask the button ‘Is Hovered’. If true, set focus or set user focus with the button as the target.
Let me know if that did something. I will still think about the issue and do some digging, maybe I can figure something out which may work. I mean I did find a rather interesting solution to the problem to say the least but in terms of performance it’s not that desired, since it’s using the Tick Event checking the state of the button per tick.
Other question, how are you actually implementing your main menu? (Can’t write new replies as a new user so maybe hit me up via DM. OKAY so apparently as a new user I can’t even answer to DMs 
I hope someone else may be able to help you during my 12 hours of waiting time. Otherwise if I have any other ideas, I’ll just edit the message in the hopes it doesn’t have an editing limit as well..)
Inside the Level Blueprint, did you try setting the focus parts and the things explained in there or within your widget class?
After some more digging I stumbled upon this Thread:
It may not be about your sound issue. However since you’ve told me that you don’t even get any reaction when asking for the hovering state of your buttons, maybe there is something that helps you with your issue. Combining that with maybe, instead of setting the sound within the hovering state, you could use the ‘Play Sound 2D’ in Blueprint. But apparently there is generally a problem with Controllers or at least with Pads like DomusLudus said in this Thread. I don’t know the Common UI Plugin, but if it does a good job it may be worth trying out!
I still wish you loads of fun and best of luck figuring out the issue. I’ll still get back to this thread if I figure something out or if you add a message 
Did it work when using the Mouse/Keyboard? Or did it not work entirely when checking the button’s hovering state?
It sure is ahaha xD Sorry for not being much of a help. Hope someone else can enlighten us because I am actually baffled about it not working tbh