If anyone is having this issue on 4.10.4 (i.e. where main menu doesn’t show on startup ONLY when you play packaged game), try this:
Go to Level Blueprint for Main Menu. Connect “Cast Failed” to same place successful cast from GameInstance to MyGameInstance connects. For some reason, this cast only fails in packaged builds, but it doesn’t really fail as you can still call the “BeginPlayShowMainMenu” event on it and it works fine.