I specially turned on logging in shipping builds for debugging this issue.
It says:
[2023.08.09-14.16.44:571][924]LogNet: CreateNamedNetDriver failed to create driver from definition DemoNetDriver
[2023.08.09-14.16.44:571][924]LogNet: CreateNamedNetDriver failed to create driver DemoNetDriver from definition DemoNetDriver
[2023.08.09-14.16.44:571][924]LogDemo: Warning: RecordReplay: failed to create demo net driver!
Although I added DemoNetDriver definition to GameEngine in DefaultEngine.ini
[/Script/Engine.GameEngine]
+NetDriverDefinitions = (DefName="GameNetDriver",DriverClassName="OnlineSubsystemEOS.NetDriverEOS",DriverClassNameFallback="OnlineSubsystemUtils.IpNetDriver")
+NetDriverDefinitions = (DefName="DemoNetDriver",DriverClassName="/Script/Engine.DemoNetDriver",DriverClassNameFallback="/Script/Engine.DemoNetDriver")