I think I found the reason after searching a day. You need to call EOSPlatformTick() method or corresponding method.
NOTE: I switched to UE5 see if it works and it did work too untill I added
EOS_Platform_Tick( EOS_HPlatform );
void AMyPlayerController::EOSMyPlatformTickMethod()
{
if (PlatformHandle)
{
EOS_Platform_Tick(PlatformHandle);
}
}
In the end I got the callback message for:
EOS_Connect_OnCreateDeviceIdCallback OnCreateDeviceIdCallback_eos = [](const EOS_Connect_CreateDeviceIdCallbackInfo* Data) { UE_LOG(LogTemp, Log, TEXT("<--callback-triggered-->")); };

Final output on log:
[2024.08.31-14.58.23:470][126]LogTemp: Successfully logged in with Device ID.
[2024.08.31-14.58.23:640][143]LogEOSSDK: Warning: LogEOSConnect: FConnectClient::ResolveProductUserIdMappingPrivate - GetProductUserExternalAccountIdPrivate Failed
[2024.08.31-14.58.24:197][199]LogEOSSDK: LogEOSMessaging: Successfully connected to Stomp. LocalUserId=[000...9ah]
I follow these BP callable C++ methods:
EOS_Initialize → EOS_ConnectCreateDeviceID → EOS_ConnectLogin->EOS_CrateSession->EOS_UpdateSession->EOS_StartSession
If deviceID already created it will not throw EOS_ERESULT::EOS_Success so to coninue add extra condition "...|| EOS_EResult::EOS_DuplicateNotAllowed"
If eos already configured it will throw "EOS_EResult::EOS_AlreadyConfigured" so do proper modifications and continue execution.
I did more tests and modification today(1.09.2024) here is results:
[2024.09.01-08.24.13:843][177]LogBlueprintUserMessages: [EOSPlayerControllerBP_C_0] Session Creted-> Session Id: 0********a54******************a, Session Name: Gomi******Session
[2024.09.01-08.24.13:971][190]LogEOSSDK: LogEOSMessaging: Successfully connected to Stomp. LocalUserId=[000...**b]
[2024.09.01-08.24.14:051][198]LogTemp: EOS SESSION STARTED - CODE: [0]
Here CODE: [0] means success.
Here we can see the bucket:
Here we can see the session is started:

