Thank you for your very quick and clear answer!
Just a point before to answer you:
Some connection tests worked when I packaged in development mode, instead of shipping. But only once in 10 I would say, it’s very random. When it works there are many problems (camera, timer…).
I replaced LastSessionSettings->BuildUniqueId = 1 with LastSessionSettings->BuildUniqueId = GetBuildUniqueId();
but that doesn’t change anything 
On the other hand, I changed bEnabled=true to bEnabled=false as recommended and I was able to obtain the same result as the rare times I managed to join a session via Steam. So at least I can try to fix these issues without going through the session issue. But I’m still going to pay for a SteamAppID, it’s expensive but that’s the cost of learning I guess 
Thank you for your answer!