you need to add the steam dlls in your cooked server folder, you can find them under UnrealEngineSource\Engine\Binaries\ThirdParty\Steamworks\Steamv139\Win64
Added to this you also need to add a file called steam_appid.txt with the steamID for your game, or just use 480 to test.
From my testings, it’s better not to have Steam on the computer running the server.
hope this helps
you need to create a folder in your source folder Engine\Binaries\ThirdParty\Steamworks\Steamv139\Win64
There you copy all steam dlls you find at UnrealEngineSource\Engine\Binaries\ThirdParty\Steamworks\Steamv139\Win64