Hi,
i had the exact same problem ("Unable to transfer hero data") when trying to play lan with my friend
since the new 4.0 age of the ring update. We played all earlier age of the ring
versions lan and they dind´t have this problem.
Now i found the solution that worked for us.
This error message only occures when at least one of us has chosen one of the
two new factions (Rohan or Rivendell). And it only "crashes" when the "hero"
is on "random".
If you select in the hero bar "-" the game works and loads perfectly on both computers into the match.
I tested other factions even with custom heroes. Had no such problems. It works as always.
I really hope this post helps you!