Someone already responded about the potential firewall issue and the port numbers on Steam, so I won’t discuss that.
When a room is created it uses your username as the room name automatically. There isn’t a way to name a room at this time. If a room is password protected, it is still visible on the list of rooms to all users.
If you create something in a room with another user, and then all users leave the room, the room will be removed. The file that was being worked on will still be active after you leave the room, but you will still need to save it locally just like any other file. That file is not associated with the room, and will not reappear when creating a new room. Currently, we do not support loading files in a network room. This means that you will not be able to work on a single file over multiple network sessions. You will have to finish the sculpture before leaving the room, or on your own after leaving the room. (we hope to have loading in rooms at some point in the future)
Hope that helps!