When using the USelection::SelectObjectEvent delegate, selecting an object directly in the viewport will call the delegate as expected but selecting the object through the World Outliner does not call it.
Result:
Capsule component does not appear when selecting through the World Outliner
Expected:
SelectObjectEvent is called when object is selected regardless of selection method
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-46676 in the post.