The function SWidget::OnKeyDown( const FGeometry& MyGeometry, const FKeyEvent& InKeyEvent ) which ends up being called for OnKeyDown event graphs for UserWidget blueprints always returns handled for certain keys, like directional arrow keys and Gamepad D-Pad. This is a problem as it makes it impossible to forward one of these key events to a parent by returning FReply::Unhandled in the graph.
Proposed Solution: Add a variable or some other functionality in the UserWidget and Designer to control this behavior so it can be turned off.