the main menu button should open the steam overlay. so first check that the steam overlay is activated for conan exiles. open the steam library and right click conan exiles => settings. the overlay settings should be on the first page if I remember correctly.
if you are unsure if the connection has worked you can check it on twitch. log in to your twitch account. click on your profile picture in the upper right corner
click “Creator Dashboard”
click “Viewer Rewards” on the left menu. it should show a “Drops” entry. click it
open one of the conan exiles drops from the list
if you are not connected