I also haven't been able to connect to any multiplayer games on Xbox yet. Don't have any issues with multiplayer on any other xbox games, and have tried connecting to other Divinity games hosted by both random people and friends, with connectivity set to open, friends only, and invite only. All with no success yet.
Going to return/refund this game if this issue isn't at least officially addressed by them in the next few days. Only got this game to play co-op and it 100% is not working.