Unreal Engine either uses a dedicated server or a listen server (one client is also the server), there is no peer to peer by default. With a listen server the host has all the advantages (including the ability to cheat) but like you said it doesn’t matter in some games.
Players still need a dedicated server so they can find someone to play with. If you use the Steam Online Subsystem then the host needs to call CreateSession while the joining player needs to first FindSession and then JoinSession.
You should be able to find both Youtube tutorials and documention of how to enable the Steam Subsystem.