Cubase 9.5 Pro/VST Connect SE cannot connect to a friend

That’s strange. Did the Performer initiate the connection (did he push the “Connect” button)?
The message says sort of “The connection server has given both parties their adressess. They try to connect now but at least one side does not reply”. This happens with restricted firewalls, however there is a bridge server taking care of such situations which is always publicly reachable - unless one or both side have special restrictions (additional “security” software, firewalls etc). You don’t usually need such extra “protection”, if either of you have installed such applications try to de-activate it.
If it still fails, I can try to narrow it even more, but then I need the names that you have written in the connection boxes (and the time when you tried).