From what I tested, a session created without opening a new level would still show up in the session result, but the number of players connected will always be displayed as zero, meaning something is probably wrong.
I think the missing step is when you open a new level with options set as listen, you change the net mode to a listen server. So another question would be: is there a way to change net mode without opening a new level?
I don't think it is possible, so there are two ways around it:
The first is that you can just change it with a loading screen or something subtle, and make it bring up the same UI from the menu scene, in the “Lobby” scene, so it looks like nothing has changed, but it wouldn't work with a proper scene.
The second option is that you can use level streaming, so you have menu and lobby level, but then you have another level which is your actual scene, which is level streamed on load to both these levels, ie its the same on both, therefore when you join, you just need to have it set the camera/player setup/position to the same as it was in the menu, obviously there would be a delay between this from joining and if the server has to set it, so you can try sneak in a loading screen inbetween but if thats not what you want just letting the client have the same view when they load first in should be enough.