On Lyra-based project, mouse capture is not fully capturing in Windowed Mode

Ok, I figured it out. Seems like a bug to me. When not in fullscreen mode, we use a borderless window and in the Engine in SlateUser.cpp , the function LockCursorInternal has the following code:
const int32 ClipRectAdjustment = bIsBorderlessGameWindow ? 0 : 1;
which allows the OS cursor to become visible at the margins of the game window and allows players to click on the desktop.
Changing it to:
const int32 ClipRectAdjustment = 1;
fixed the issue for us.