Hey after i digged FClassFinder on UE4 Docs here I show my code to do challenge. I used GetDefaultObject() to get UClass and after that casted though UUserWidget to assign field.
I wonder if I am correct or not. Will get that answer after watch the video right now.
UPuzzlePlatformsGameInstance::UPuzzlePlatformsGameInstance()
{
ConstructorHelpers::FClassFinder<UUserWidget> MenuClassWidget(TEXT("/Game/MenuSystem/WBP_MainMenu"));
if (!ensure(MenuClassWidget.Class != nullptr)) return;
UE_LOG(LogTemp, Warning, TEXT("Found class %s"), *MenuClassWidget.Class->GetName());
MenuClass = Cast<UUserWidget>(MenuClassWidget.Class->GetDefaultObject());
}