Maybe my description is slightly misleading, so I will try to clear things up a bit.
I merely call “CreateSession” on the online subsystem’s session interface. This in turn will come across the class and line mentioned in my original problem description. The thing is that the line mentioned above DOES open a UDP listen socket when we use the Null online subsystem but DOES NOT open a UDP listen socket when we use the Steam online subsystem.
I have no explanation why the port is not being opened when we use Steam - which is what we ultimately want to do in the end.