Z is up in UE in general, that’s right, however there’s something different when it comes to the character. X, Y and Z are Pitch, Yaw, and Roll respectively, but you only change Pitch and Yaw, right? In this case Yaw represents the rotation around the vertical axis.
If you make something like this:
You’ll see that when you rotate left or right, Y (Yaw) changes, and Z (Roll) remains 0.