Do you know if this works over LAN? If so then its likely not able to talk to the subsystem. This can be due to many things, like your network/internet settings, issues connecting to the online subsystem etc but its hard to know of the bat whats going on.
In the Game Instance you should have some events which are fired when Networking/Connection error at times so this may help, but im not sure if this triggers anything with finding sessions.
Otherwise, Your logic looks to be the similar to how I would go about simple matchmaking. I would also check that your Steam subsystem setup is correctly if you havnt done so, just to rule out any issues with editing files around the engine to get this working.