I had a similar problem this evening and your post seems the closest to my error.  I'd be at the 'connecting to server screen,' (the one before the lobby screen in your screenshot), and when I'd click on the conneciton info button I'd watch as one by one I connected to everyone in the room.  Only problem was that after connecting to everyone it wouldn't bring me to the game lobby at all.  I'd just sit there looking at myself connected anyone. 

Happened with friends I was talking with Ventrilo and everyone in the lobby confirmed their screens were showing me connected as well.  Tried some games with random strangers and got the same issue.  Connected to all, can't get the game lobby to appear.

(Ports 6000, 6073, 6100-6200 forwarded, UPnP off, Windows Firewall off, all other applications off, etc.)