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The way you formulated it -- "I install it, start the Rockstar Launcher and (...)" -- makes it sound like you manually start the RGL, in which case, yes, it would just sit there until you chose to "Play on Steam" through it; the idea is that you run the game through Steam directly.
However, assuming that you do and that either the RGL hangs on the connect as per above or errors out in some other way, I'd avise a reinstall of the Rockstar Games Launcher and the Rockstar Social Club framework. I.e., first uninstall those two from Windows directly and then reinstall from https://socialclub.rockstargames.com/rockstar-games-launcher
Then first do run the RGL standalone so as to see if you can then login (and optionally set credentials to auto-save) and if so try again if things then also work through Steam.
I have reinstalled GTA IV several times from Steam, I also downloaded RSL from the official website and the same thing, I start GTA IV from Steam or Rockstar Launcher and it keeps loading the Rockstar logo without starting the game, even though Steam says that the game
https://support.rockstargames.com/articles/360035474194/Rockstar-Games-Launcher-Connection-Troubleshooting
you need UDP-ports 6672 and 61455-61458 open -- although unfortunately when I check here with and without the RGL and/or the RGL+GTA4 running and logged in to Social Club, those ports are not in fact open, nor is there a UPnP rule active for some other set.
This would seem to say that that Rockstar support information is false/outdated and that I can't tell you more specifically what to check. Maybe some other bit there is still useful; maybe just the "reset your router" advise. If you have that option maybe also check if it works if you tether from a mobile connection or some such; some ISPs are really obnoxious when it comes to filtering traffic.
It's once again in any case not a general issue. Sorry; no better ideas.
Does in your case verifying the game on Steam -- rightclick in Steam library -> Properties -> Installed Files -> Verify -- show missing/damaged files? If so you're probably a victim of some paranoid piece of anti-malware ♥♥♥♥ quarantining innocent game files. The right solution would be to do away with said ♥♥♥♥.
If a Steam verify does feel all fine it might be a RGL/SC issue after all I suppose. Maybe in that case try doing a more thorough reinstall of RGL/SC as per https://support.rockstargames.com/articles/16957180429203/How-to-perform-a-clean-install-of-the-Rockstar-Games-Launcher
What is it?