Answer
If you hit this, the workaround that's been found to work is: create the Lobby page as an end-user with the necessary Lobby-creation projections granted (LobbyConfiguration, LobbyDatasourceConfiguration, LobbyElementConfiguration); after saving, you'll see 'Cannot load Page' — at that point, go to the Permission Set details page and explicitly add the newly created Lobby page to the permission set the end user holds; going back to the Lobby overview still shows the same error at this point, so log off and log back on again — only after that fresh login does the new Lobby page actually become accessible and ready to add elements to. Whether this remains necessary on your specific release (or has since been fixed) isn't fully confirmed, so treat it as the fallback if a newly created Lobby page won't open normally.