Did you try waiting a while?
There is a known issue that can cause a delay when starting a multiplayer game, if one or more players has a high amount of latency / lag. It could take several minutes to get into the game, or in extreme cases up to 30 or 45 minutes. It may help to close any other applications that may increase latency or use bandwidth (vpn, browsers, chat apps, etc.).
As a workaround, if high latency is limited to 1 or 2 people, the host, or another player, may be able to create the desired character in split screen co-op (using 2 controllers) and those with high lag can join after the others get into the game.
Alternately, on PC it is possible to start multiple instances of the game on one system to create multiple avatar characters that way. Start the game, switch to windowed mode and lower the game resolution (and maybe check the option to mute the sound volume when the game doesn't have focus), start a multiplayer game, hit Esc, open the Connectivity Menu and make sure LAN Connections is enabled (or that can be done in the options before starting a new game, if it isn't still enabled from testing Hamachi). Next, start the game again from the '..\Divinity Original Sin 2\DefEd\bin\EoCApp.exe' program file (doesn't matter if the first instance is started through Steam/Galaxy or the executable), select Join Online Game in the Campaign section, switch to the LAN tab, rather than Online, and join (repeating if necessary).
