How to connect with dedicated server but game client stay at current screen?

When you join a server you get a new controller. GM creates it and assigns it to the client. It’s then replicated down to the client. After which the GM spawns the default pawn, possesses it and replicates that down to client.

What you need to do is store your custom settings in a save game… as you modify them. When you join the server and get the new controller you load the UI and use the stored settings.

There will be a flicker where your current controller is destroyed, thus UI that was loaded. Then the new controller loads the UI and updates the menu with stored selections. Get creative here and add some visual and audio fx to mask the join process.