In my game, I did it in another way. When my level is loaded, and my pawn ready, I created the session. And not create session, then load level. Try that one first.
I have menu system from which I’m running two instances of the game inside my editor. From the menu, one starts the server, and other joins. I am using online Steam sessions and online sessions plugin for this. And it works fine.
If you want someone to help you, you need to provide more information. This will bring you nowhere. Take a look at the logs, and you will have output why the join session failed. But I assume session is closed on level changed.