It appears that only custom event nodes support a deprecation message. In fact, we need all nodes that use delegates in some fashion to support a custom deprecation message. Both UK2Node_ActorBoundEvent and UK2Node_ComponentBoundEvent seem affected by this.
There's also another bug here: the _DEPRECATED suffix should not be necessary for DeprecationMessage to work. Apparently, delegate properties need _DEPRECATED for the message to show up. However, other property types do not need this, which is the correct behavior.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-193510 in the post.