gds1|2|3|4.steampowered.com

[n†x]

October 2021:
The checks are no longer performed and were disabled with the Steam Client update!
Two first domains are still registered on the DNS server.

Old:
Most of the older games establish a connection to this domains when you start the game.

gds1.steampowered.com
gds2.steampowered.com
gds3.steampowered.com
gds4.steampowered.com

This are the General Directory Server that were used by Steam to update games in the past. The game files were compressed in a GCF archive. So when you start a game a checksume of the GCF file was send to the server and compared to the GCF file on the server. Today it is like this:
An old game still sending the same data every first time you start the game after a Steam reboot.
Because GCF is outdated and no longer used by Valve this domains can be blocked.

You will have no disadvantages. Games are playable like before and will be updated by Steam. When you block this domains, it will also not trigger the firewall notification every time you start a game.