Connecting to session doesn't work in stand alone

I have a multiplayer game. So I create session and then connect to it from another client. It works if I launch two windows from editor, but if I launch two instancies of the game not from editor (“launch game” from explorer) it doesn’t work.

UPD
So it works if I am trying it through steam, so for some reason it doesn’t connect through LAN. Is there some additional settings to be able to connect through LAN? I can see the session created by host, but can’t connect and read any data from it e.g. server name.