It will work if you package a project from an engine with source code not from a launcher editor.
Once you get an engine built from source, you should add in the target.cs file of the project
// Enable UDP in shipping (used by DirectLink)
if (BuildEnvironment == TargetBuildEnvironment.Unique)
{
GlobalDefinitions.Add("ALLOW_UDP_MESSAGING_SHIPPING=1"); // bypasses the 'if shipping' of UdpMessagingModule.cpp
GlobalDefinitions.Add("PLATFORM_SUPPORTS_MESSAGEBUS=1"); // required to enable the default MessageBus in MessagingModule.cpp
}