Yea, you will have to wrap your c++ widgets within UUserWidget so it can be visible in UMG and then used by WidgetComponent
Edit:
After a look at WidgetComponent code I noticed that there is a variable SalteWidget which is an actual window. Since most of the stuff in WidgetComponent is protected you could try to extend its functionality so it accepts c++ slate widgets too. Although, it’s a good practice to expose your c++ widgets to UMG for styling purposes.