Now after creating a lobby, you will find your EGS friends in the friends list
https://store.steampowered.com/news/app/675010/view/2887333424788098115
That's the final step where I and my friend are stuck and we can't play together. Can I get a video tutorial or images of how the "mysterious" friends list work or better explanation?

UPDATE: We missed a step but still don't know how to do this

So to get to do this step (for steam version mudrunner), you need to activate cross-play in the settings and it will take you to the website where you get to allow something and you'll be able to invite your EGS friends, good luck