Hello, by not working do you mean that it does absolutely nothing or that it does launch a lobby but that your friends can't join
Do you get a warning or pop up from the Windows firewall ? CREATE LOBBY sends a requests to the Epic Games services and once it gets the answer, it teleports you in the newly created lobby. If the firewall is blocking the request, it may be the reason for the problem.
Are you on a Windows 10 or higher computer connected to the internet ?