Yours does not have a button in the menu content, you can see the SWidgetGallery one has a SButton “Arbibratrary” in the second vertical box slot.
.MenuContent()
[
SNew(SVerticalBox)
+ SVerticalBox::Slot()
.AutoHeight()
[
SNew(STextBlock)
.Text(LOCTEXT("ComboButtonItemLabel01", "Combo\n Button\n menu\n content supports"))
]
+ SVerticalBox::Slot()
.AutoHeight()
.HAlign(HAlign_Center)
[
SNew(SButton)
[
SNew(STextBlock)
.Text(LOCTEXT("ComboButtonItemLabel02", "arbitrary"))
]
]
+ SVerticalBox::Slot()
.AutoHeight()
[
SNew(STextBlock)
.Text(LOCTEXT("ComboButtonItemLabel03", "widgets"))
]
]