Well the devices are disconnected, hence nothing is transferred. Are all devices in the same LAN?
If yes, you might need to disable Windows Firewall (sometimes adding an exception does not work).
See Hosts remain disconnected, cluster setup?
Alternatively, make sure port forwarding is setup, or UPnP is working properly, and global discovery is enabled. In that case they should find each other over the internet, and be able to connect.