A similar issue to this seemed to have been reported for the kindle fire version and marked as resolved.

I am having this issue with minecraft windows 10 edition too.

Getting this message on two seperate Win10 laptops when trying to join a game on the LAN they are connected to. iOS and Android devicesnconnect fine on the same network.

Can see the server fine, just wont let me connect.
Used to work until a recent update

Issue isn't the network, no packet loss and other services work.

I did a bit more research and it is actually an issue with the Win10 version. Basically the network you are connected to needs to have an a working internet connection.

I added a second wifi adapter that connected to a network with an internet connection and it then allowed the PC to join the server running on the original network which doesn't connect to the internet.

(The laptop was simultaneously on both) Once connected, the traffic was routed through the correct interface to the local server. Upon disconnecting the internet enabled wifi network, the local connection to the server died too.

This behavior isn't present on Android or iOS. Both will happily connect to a wifi network and let you play multiplayer without that network being connected to the internet.