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Multiplayer in NMS is completely lobby based, up to a certain amount of players can be in the same lobby, but if two players are in different systems then even if they are in a group, they are in different lobbies. (Each system counts towards a different lobby, and the interior of the Anomaly is a separate lobby as well)
There is no PVP or co-op progression, only co-op missions you can do as a group.
Honestly, the multiplayer in this game is very much a side-feature, and by-and-large the game is designed to be single-player, with a small chance of running into things done by other players if you get lucky or intentionally visit a popular area.
Generally, unless you go out of your way, you are only likely to encounter other players while visiting the anomaly, because of it being a global hub every player can access.
Technically not true. While there isn't any PvP gamemode, and I don't know what the setting is by default, you can set your game settings to allow PvP with other opt-in players. You can set it to be between party members, friends, everyone and nobody if I recall correctly.
Besides from this, most activities are simply "two players in one world" as opposed to co-op progression, as you put it. It's nice but definitely not integral to the experience.
Regarding creation of co-op sessions, I'll make a quick example. Player 1 (host) loads their regular savefile, and Player 2 decides to join. Player 2 is warped from their current system to the system of Player 1, and co-op begins. After the co-op session (notably, after Player 2 returns to menu or exits to desktop - not whenever Player 2 and Player 1 lose connection to each other), Player 2 is warped back to their home system (they are warned that their position is not saved in multiplayer).
It should be noted that this means a new player joining an experienced player may find themselves in another galaxy entirely and therefore unable to access things like the Living Ship, which requires the player be in Euclid.
Progress is saved individually by player - any progress Player 2 makes is their own, and persists if they disconnect. I recommend placing a Base Computer on any planets you like to enable teleportation (a party member's bases show up on the teleporter menu).
Planets are mostly local, but you can't edit someone else's base while they're absent. Placing a Base Computer protects the area around it, and defaults to "nobody else can edit" when the owner is gone. This is changeable in settings, akin to PvP.
TLDR: you can PvP but the game's not designed for it, besides that Entoarox is correct. If hosting and any players joining you are starting a new save, please teleport to a system in Euclid for their sake.
Spoiler tags are in relation to the events at the end of the game. Without directly spoiling it, you're given a choice of four lights, which influence the location you go to afterwards
Update: Added more information that was directly relevant to your questions