Listen before authentication
Steam sends some messages to the client immediately on authentication.
If you need to listen to those messages, you can create a connection without
logging in yet by using UnAuthenticatedConnection::connect.
Unauthenticated connections cannot be used to send messages, but you can use it to start listening on messages before authenticating.
Once you're started listening for all the messages you require, you can convert
an UnAuthenticatedConnection into a authenticated Connection by using
anonymous, anonymous_server or login.