It seems that this problem might have been related to the “Run Under One Process” flag.
I could now join the session on the client when I did not use that flag, and then I could also see the player on the hosting-side which created the session in the first place.
It would be IMHO interesting to know, if it is currently possible to debug multiplayer during PIE when using the EOS-services with that flag enabled, since debugging is faster with it enabled.
Cheers