For anyone else who stumbles upon this problem, using the OnPreviewMouseButtonDown function is slightly discouraged, as it can make it harder for you or your team to predict or comprehend the behavior of the UI later on.
The problem usually happens when you have an interfering widget, in most cases it’s a button. Depending on your use case, you could either disable it using YourButton->SetIsEnabled(false);, or stop it from consuming the mouse input.