You can fix this by setting Any Key to execute when paused.
I had a good reason back when I released for 4.7-4.9, But I can check it out and see if I can use “Set Input Mode UI” now.
I tried to make it so the hand indicates that menu can be moved, and show a grab hand when user is grabbing menu, but I ended up with a mouse cursor stuck with wrong symbol. I can take a second look at it and see if I can improve it.
Did you set up the build configuration for shipping? It does not hide Dev tab when build is for development.
This happened in 4.11 when Epic added their own game settings class. I am planning to merge their system and mine, and this will hopefully fix that. (You can still grab and drag a corner of the windowed screen and it will “pop” into a proper window mode.)
Good Idea!