I believe that this is working as intended. With that being said I have found a workaround that may be viable for you depending on your needs. I have provided an example below. I hope that this information helps.
Here I simple changed the hovered style to that of the pressed style.
As workarounds go – this is very useful. Thanks much!
This does highlight an issue where layouts in the UMG editor are straying away from the desirable WYSIWYG goal. For this workaround to be seen the game must be simulated. This also seems true for the standard Hovered and Pressed button styles - there is no way to preview the result directly in the editor. I’d love to have an ‘editor display property’ for the button that would let me change the displayed state.