Did you set the DefaultClickTraceChannel?
Works no problem in a quick project.
in cpp of controller in beginplay
void AMyPlayerController::BeginPlay() {
bEnableClickEvents = true;
bShowMouseCursor = true;
bShowMouseCursor = true;
DefaultClickTraceChannel = ECollisionChannel::ECC_Visibility;
}
Also make sure you have your custom player controller set in the project settings game mode!