I came to the same observation, and it is a pity there is no information about this.
In my situation I have a function in a BP construction script which takes in a vector as input paramter, and this vector I set from OnConstruction(). I would have expected that OnConstruction() runs earlier then the BP construction script.
However, unfortuantely the BP construction script function executes before (about 14 ms earlier) than the C++ code and the function does not work properly.