If you have a Slate widget which can receive focus, but you want one of its children to automatically receive focus instead, you can override OnFocusReceived.

FReply SZEASearchWindow::OnFocusReceived(const FGeometry& MyGeometry, const FFocusEvent& InFocusEvent)
	return SearchBox->OnFocusReceived(MyGeometry, InFocusEvent);

In the above example, when a SZEASearchWindow receives focus, it will automatically focus its child widget SearchBox.