If you initiate a conversation immediately after a player joins the game, the conversation HUD will not show on the players screen.
Trying to re-initiate the conversation will also fail, until the player respawns. Once the player has respawned, initiating the conversation will work again (it is possible that manually hiding the conversation would also allow the conversation to be shown)
If you Sleep for ~2s after player joined event, and then initiate the conversation, the HUD will reliably show. Sleeping for less time works for some platforms, but Xbox requires the longest amount of time to load.
There is something happening with showing HUD too soon after player join in progress, and i think this issue is being caused by automatic show settings as well