If a pawn / character is unpossessed while it is jumping, the character doesn’t fall back down to the ground. it ends up levitating. It seems like the character is exempted from laws of physics that are relevant to the level.
In order to avoid the situation described, “Run Physics With No Controller” has to be checked, and hence my question.
UE document is rather useless, it does not even give the whole picture of the situation, let alone why it happens.