People who read to this question in 2018 might be interested to know that this problem is still present. 
The only and not-documented way to obtain the apparently necessary steamclient.so on Linux is to copy it from the SteamCmd Linux install folder.
Neither of Valve’s or Epic’s Steam examples seem to work on Linux without this manual, yet, undocumented step.
(steamclient.so is not present in the SteamWorks SDK 1.42.)