Your lobby is usually a dedicated server as well but how you do that is a core system of those games.
There are tutorials about how to create a dedicated server with Unreal and there are also tutorials on how to create a lobby. How exactly you implement it and have it work is a huge topic with certainly hours of debugging and work.
Here is how to create a dedicated server in Unreal Engine:
And here a basic lobby system:
Beyond that it really is up to you. The question is too big for a better answer on my part. At least for me.