I have had this issue since the "bug fix" 1.12.0 update that screwed me over. I am attempting to play lan cross-platform multiplayer between a Windows 10 laptop and an ipad mini. This issue ONLY appeared after the 1.12.0 update and we were able to play without issue for months before. I have tried everything, including reinstalling the game on both devices, starting new worlds, disabling my firewall, signing in and out of xbox live, etc. Nothing has changed the outcome: another 10-ish seconds of loading and then the "cannot connect to world" error message. No need for proof, my pure rage is proof enough mojang.
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Sounds like the same issues I got on my iPad. Works fine when I log on from my android Device on to my private bedrock server.

Thank you for your report!
We're actually already tracking this issue in MCPE-36190, so I've resolved and linked this ticket as a duplicate.
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This is likely something wrong with your network.