I have already made it past the point in the game where coop is unlocked. I've got the game set to "Friends Only" and my NAT is open. I've successfully joined my friend's game only once - and the other dozen times I've tried it takes me to a loading screen, I choose my save file, then it goes through another loading screen only to then tell me "this game session is no longer available". The same happens when he tries to join me.
Our connections are good, we play together all the time - I even host a server for some games with my computer (but to be clear I have dying light on the xbox one).
I've seen this issue in the forum last posted in February with NO ANSWER (http://forum.techland.pl/topic/3310-coop-issues-with-joining-friends/). The coop is the only reason my friend bought me this game - if it cannot be fixed then I would like a refund.