Hello,
I seem to be experiencing this issue as well. I do not have any firewall besides windows defender. I use ZeroTier to create a VPN. The ZeroTier network has Metric 1 so i can make sure that it's the network used by the game. When i try to play with somebody over this Lan we can both see eachother in the lobby. Any one of us can create a game but the other person cannot join it. On the joining computer we get the error saying: Yuri's Revenge has crashed. Error Message:
Exception has been thrown by the target of an invocation.
On the server side in the game i see the player connecting and then getting disconnected. I'm sorry to say i can't remember what message it gives when it disconnects the other player. I think connection timed out but i could be wrong. Will be back with an edit once i get the chance to try it again.
Hope this helps.
PS: Amazing job you're doing of reviving these old classics