In the Connectivity menu, is there nothing else to select, or nothing to toggle it between open and closed?
Did you double check the multiplayer settings in the options? I'm not sure how it is done for the PS4 version, but on PC it is in the Game section of the options.
Did you try hosting with the other PS4? You can start a new game for that, or transfer a save from the first one using a flash drive, and see if that makes a difference.
In the Saved Data in System Storage section of the Settings menu, click Copy to USB Storage Device, select the relevant save(s) and Copy, then copy it back on the other PS4.
