How to do it...

1. Create a new GameModeBase subclass called ClickEventGameMode:

2. From the ClickEventGameMode.h file, add the following functions and private members to the class:

#pragma once

#include "CoreMinimal.h"
#include "GameFramework/GameModeBase.h"
#include "SlateBasics.h"
#include "ClickEventGameMode.generated.h"

UCLASS()
class CHAPTER_14_API AClickEventGameMode : public AGameModeBase
{
    GENERATED_BODY()
    
private:
    TSharedPtr<SVerticalBox> Widget;
    TSharedPtr<STextBlock> ButtonLabel;

public:
    virtual void BeginPlay() override;
    FReply ButtonClicked();
};

3. Within the .cpp file, add the implementation for BeginPlay:

void AClickEventGameMode::BeginPlay()
{
    Super::BeginPlay();

    Widget = SNew(SVerticalBox)
        + SVerticalBox::Slot()
        .HAlign(HAlign_Center)
        .VAlign(VAlign_Center)
        [
            SNew(SButton)
            .OnClicked(FOnClicked::CreateUObject(this, &AClickEventGameMode::ButtonClicked))
        .Content()
        [
            SAssignNew(ButtonLabel, STextBlock)
            .Text(FText::FromString(TEXT("Click me!")))
        ]
        ];

    auto player = GetWorld()->GetFirstLocalPlayerFromController();

    GEngine->GameViewport->AddViewportWidgetForPlayer(player, Widget.ToSharedRef(), 1);

    GetWorld()->GetFirstPlayerController()->bShowMouseCursor = true;

    auto pc = GEngine->GetFirstLocalPlayerController(GetWorld());

    EMouseLockMode lockMode = EMouseLockMode::DoNotLock;

    auto inputMode = FInputModeUIOnly().SetLockMouseToViewportBehavior(lockMode).SetWidgetToFocus(Widget);

    pc->SetInputMode(inputMode);

}

4. Also, add an implementation for ButtonClicked():

FReply AClickEventGameMode::ButtonClicked()
{
    ButtonLabel->SetText(FString(TEXT("Clicked!")));
    return FReply::Handled();
}

5. Compile your code and launch the editor.
6. Override the game mode in World Settings to be ClickEventGameMode.
7. Preview this in the editor and verify that the UI shows a button that changes from Click Me! to Clicked! when you use the mouse cursor to click on it:

Button displays Clicked! after being clicked