So, I got this working in my own project following the steps laid out in Epic’s wiki but there certainly seems to be some weird behavior. The Steam Libs/DLLs always fail to load when launched from the editor (whether simply hitting Play or actually telling it to launch an instance of the game). It’s only if I launched my game from within Visual Studio (I just added “-game” to my command line arguments and ran the project with F5) that the libraries loaded correctly and the steam interface comes up normally.
I haven’t sync’d down the engine/editor to build in debug and find out what is going on, but you may want to give just launching from VS a shot. There may be a bug here for the Epic guys to look at.