Hey there, I get the same error and its freaking me out. Do you have your own AppiD? Are you using c++ or Blueprints? Are you running your server on the same machine as steam is running? I read and its also in the logs that steam doesnt like that which is still weird for me because Im running the server via AWS. I followed this tutorial: https://www.youtube.com/watch?v=QHB1H6eM-vc&t=602s
Also is it shipping build or development?
If you have your own AppId, did you fill all the info in the dedicated section in steamworks and publish it?
Maybe we can work this out together 
Im not a pro and just learning this stuff .