From the main menu, can you change the setting from the Game section of the options?

Are you shutting down all non-essential programs (especially anti-virus) before starting the game?
If you are using a third party firewall, check the settings.

Try exiting out of the Steam client completely, if applicable, and starting the game directly from the '..\SteamApps\common\Divinity Original Sin Enhanced Edition\Shipping\EoCApp.exe' program file, by right clicking and running as administrator.