Okay, it’s possible that Shipping doesn’t enable logging, so we can’t look there.
You mentioned you placed your steam_appid.txt beside your .exe file. In a packaged build, there are several exe files. There is one in the main package folder, and there is one in your GAMENAME/Binaries/PLATFORM/ folder. The second of these folders is the one where your txt file needs to be, if it’s not there at currently.
The differences in UE4 code for Shipping and Non-Shipping in relation to Steam are the following: the ability to clear achievements, and the auto generation and cleanup of steam_appid.txt files.
You mention that you also had issues with your non-ue4 computer finding sessions. Are you running the Steam client on both computer? If Steam fails to initialize for some reason, UE4 will instead load the Null onlinesystem, which will only give you basic LAN support as far as session finding goes. The log options I told you about above should help you figure out what is going on, at least in Development builds.