Mouse cursor won't disappear

After I load a new level the game is not in focus, the mouse cursor is still visible.
I can still use my keyboard keys but to look around I need to click again on my mouse button.

Did you try using SetInputMode GameOnly and ShowMouseCursor set to false? Both functions can be reached with GetPlayerController.

You could try this:
To start your Starting Menu without clicking one time to control the mouse cursor, in the Level Blueprint where you create the Starting Menu.:

Then, to start the opening level without clicking one time, in the Widget Blueprint:

Hope it works for you!