Prerequisites:

1. You and your friend have Windows 10, version 22H2 installed.
2. You and your friend have the latest version of network drivers.
3. You and your friend have turned off Windows Firewall at all.
4. You and your friend have Microsoft account.
5. You and your friend have "Minecraft: Java and Bedrock Edition for PC" application attached to own Microsoft account. Version 1.19.73.
6. You and your friend have successfully passed verifying the System Requirements for Minecraft on its Microsoft Store page.
7. You and your friend have allowed all the Xbox.com privacy settings (including "Join to multiplayer games").
8. Your friend has launched Minecraft, signed in to Microsoft account and created a private (not Realm) world.
   Multiplayer settings are:
   1. Other players can join your world
   2. Visible to LAN players
   3. Friendly fire
   4. Player access: Friends
   5. Default player permissions: Member

Steps to reproduce:

1. Launch Minecraft for Windows (Bedrock Edition). From the Launcher or directly - it doesn't matter.
   1. Sign in to your Microsoft account if you not are.
2. Click on the "Play" button.
3. Go to the "Friends" tab by clicking on it or using "]" key.
4. Try to connect to friend's world.
   1. Find your friend's server under the Joinable Friends title.
   2. Ensure there are a free slot for you.
   3. Connect to found world by clicking on it.
      OR
      Altervatively you can accept an invitation from your friend to join the game.
5. Wait until connection procedure is finished.

Expected result: you was successfully connected to friend's world.
Actual result: your connection attempt was failed. "Unable to connect to world" error message displayed.

The same result will be achieved if my friend will try to connect to my created world using the same steps as described above.

Notes

1. My friends can join each other worlds w/o any issues.
2. I was able to join my friend's world from the PC of one of my friends I have mentioned in the p.1.
3. I'm able to connect to world from the "Worlds" tab inside the game.

Important
Of course I know about the MCPE-36190 and about 2k of closed duplicates. I have investigated comments and related issues, but there is no solution for my case.
I insist that this ticket should not be closed as a duplicate. The provided information is different from MCPE-36190 and much detailed. See also what I have already tried in the first comment below.