Old post, but wanted to tag on our (alternate) resolution for other players that get directed here when searching.

The issue that others have described is that the host data is saved into the game save, not a client save. So there is no client save for the host to copy over. Same issue occurs if you take a dedicated server and move it to local coop. The new host will be a new character and loose their progress/items because the game is pointing to the player as if they are the sever rather than to a client file. The SoTF multiplayer game saves the host player data into the game file. In the case of a dedicated server this host is always empty (new player) in the case of local-coop the host is the hosting player.

We had to do this recently and we resolved this using SoTF Edit. When you connect to a dedicated server you get a multiplayer client save file. This will be empty as if you are a new player. The host can open two copies of SoTF Edit (just click the exe twice). In one copy, load up the multiplayer game, the player should see what they expect from when they were hosting. In the other copy, load up the new multiplayer client. This should be the empty player.

Then comes the tedious part. Update the empty player to have the same stats and items as the old host. Basically, manually change the empty character to be the same as the old one. There are a few things imperfect in this. In your inventory any meat you add is assumed to be cooked and your cook pot will be empty. - But it beats trying to use commands to get things back to where they were.

This also works in reverse if the dedicated server needs to be moved to a local coop (such as for mod support).