Create new actor, spawn it from character or better GameMode(GameSesion, Player Controller can do as well) if they’re more than one character that can be selected then save its reference to a variable of Indicator in the GameMode. Then create actor reference there as well by the name of SelectedCharacter or something like that, then in the Tick do IsValid to SelectedCharacter if true set Indicator actor Location to SelectedCharacter Location(raise indicator local location in BP for better visual height) then set Indicator Actor Hidden to false and if not valid set Indicator Actor Hidden to true.
Oh right when you select your character you need to do Get GameMode to cast it to your game mode and set the SelectedCharacter variable to your actor that got selected and if all of your characters attacking set it to null. Think that will do the job more or less.
Pretty much what I wrote above but with your HUD instead GameMode and Widget instead Actor, but here you will need to find how to do the widget with help of some tutorials.
Good luck.