It is useful, or in some cases required when inbound ports/nats can not be opened up. That's why hamachi was so popular with gamers for a while. You basically

It is useful, or in some cases required when inbound ports/nats can not be opened up. That's why hamachi was so popular with gamers for a while. You basically bridge your LAN with the other players. Valve is just doing this in a way that is more integrated into their platform. In garry's mode, they call it "Peer to peer" but they are using this relay network.