SetShowMouseCursor requires a mouse move for the effect to take place.
you are probably using the winapi ShowCursor(bShow). windows tends to not update the mouse status right away. a simple fix would be to add the following code right after ShowCursor():
usually SendInput() is used to (as the name suggests) send input. by not adding any input information, we only let windows know that it should update its mouse status.
Submitting your change as a pull request on GitHub (https://github.com/EpicGames/UnrealEngine/compare?expand=1) would be the best way to have your suggested fix considered for implementation into the engine. Once submitted, it will be reviewed by our development team for compatibility with the engine code.