Whatever widget you would like to have use the OnMouseUp override will need to capture the mouse in order for this to work correctly. The reason for this is that the mouse is already captured by something else, which is most likely the viewport.
Take a look at the WidgetBlueprintLibrary.cpp file, as this contains examples of how to properly capture the mouse as well as many other functions that are related to widgets. What you’re doing is telling the viewport not to capture the mouse, but you also have to ensure that your widget knows to capture the mouse.