You have to hit multiplayer, then create a lobby and then invite them. Then hit launch once they are in that lobby. That's how it worked for me and my gf on steam for Online co-op. No idea LAN works differently.
Yup Divine Divinity worked the same way.
NOT intuitive and highly annoying. But once you know how to go there you are.
Speaking of that, I'd like to be able to "name" the game - so that I don't have to endlessly hand type the name of my "campaign" or panic when I'm not sure which save was which campaign.