Hey AndreaCammarata,
The warning you are getting isn’t so much because you want to test two players, its that the player you are trying to join the session with is already either hosting a session or is already in a session.
As a rule, the JoinSession function makes sure that the Player follows this:
"Don't join a session if already in one or hosting one"
I can suggest that you make sure one player is hosting the game and the other is joining but only one host and one join.
Also, as a side note, I know you are using the OnlineSubsystemNULL but, if you plan on going to Steam, you will run into some issues trying to use two players on one Steam account and will need a secondary computer to test with. This issue however should be limited to Steam only.