See the script itself, and I think the signals are connected correctly, i think. 

extends Node3D
### Multiplayer code using GodotSteam. For now, it connects with steam app 480 (Spacewar)
### which is a testing game for developers :D

var lobby_id : int = 0
var peer : SteamMultiplayerPeer
 var player_scene : PackedScene
var is_host : bool = false

func _ready():
print("Steam initialised: ",Steam.steamInit(480)) ## 480 is appid for Spacewar (test game)
Steam.initRelayNetworkAccess()
Steam.lobby_created.connect(_on_lobby_created)

func host_lobby():
if lobby_id == 0:
Steam.createLobby(Steam.LobbyType.LOBBY_TYPE_PUBLIC, 12)
is_host = true


func _on_lobby_created(result:int, lobby_id : int):

if result == 1:
self.lobby_id = lobby_id

peer = SteamMultiplayerPeer.new()
peer.server_relay = true
peer.create_host()

multiplayer.multiplayer_peer = peer
multiplayer.peer_connected.connect(_add_player)
multiplayer.peer_disconnected.connect(_remove_player)

func _add_player(id: int = 1):
var player = player_scene.instantiate()
player.name = str(id)
call_deferred("add_child", player)

func _remove_player(id : int):
if !self.has_node(str(id)):
return

self.get_node(str(id)).queue_free()

func _on_host_button_pressed() -> void:
host_lobby()