Hey ,
A few questions:
- How are you packaging your game? Development? Shipping?
- If you are building as Shipping, are you including your steam_appid.txt file? https://wiki.unrealengine.com/Steam,_Using_the_Steam_SDK_During_Development#Packaging_w.2F_Steam_for_Shipping_Builds
- Are you trying to create and join a session from one Steam account / computer? If so, you need to have two accounts on two computers. Steam doesn’t like handling two connections from the same source.