For what it's worth, please include your system information as requested at https://github.com/ValveSoftware/steam-for-linux#reporting-issues

I can't open "Help -> System Information" because steam client couldn't run in my case (instead client try access to network)

Close enough will work. OS, etc. Some of the issue may be partly the network connection.

I'll have to switch over to my XP box (which is where my SOCKS VM is sitting) and connect from my Netbook.

For some reason, I'm remembering a firefox tweak (about:config) called "network.proxy.socks_remote_dns" which was put in so that DNS requests went through the SSH tunnel to avoid DNS-based blocking.

OS: Fedora 18 i686

declare -x all_proxy="socks://127.0.0.1:12345/"
declare -x no_proxy="localhost,127.0.0.0/8"

Of course Google chrome and Firefox works.

TL;DR: There are three possible issues: Client doesn't support SOCKS at all, DNS requests aren't getting replied to correctly, and/or the proxy isn't being bound correctly regarding BND.ADDR and BND.PORT as per IETF RFC1928

Are you using a proxy for security or because without it, Steam is blocked? I'm not 100% sure of how Steam gets its info (IP or using a domain name). I think it uses IP, but I may be wrong and if I am and it uses a DNS request, the DNS request may be getting slagged somewhere before it hits the internet (firewall, router, internal proxy server, etc.)

The settings above only really recommend the proxy if there application looks for one (or is assigned one). This means applications that don't have that feature can't take advantage of it. Further... I'm not sure if UDP is used at any stage of the connection and if so, while, SOCKS5 is wholly capable of sending/receiving UDP packets, it has to be configured for such. There are articles here: http://www.debian-administration.org/articles/539 here: http://www.qcnetwork.com/vince/doc/divers/udp_over_ssh_tunnel.html and here: http://stackoverflow.com/questions/5012122/socks-5-and-udp-c-c for more information. The last is a good article explaining a major part of why many applications have issues with SOCKS proxies.

Steam does not support connecting to the Steam service through a proxy, on any platform that Steam runs on.

Closing this bug.

Ok, can I left feature request for adding proxy support for steam client for all platforms?

That would be a separate issue to be opened, probably with an explanation as to why (to help ensure that specific things work).

$ steam
Couldn't find dpkg, please update steamdeps for your distribution.
Running Steam on fedora 18 32-bit
STEAM_RUNTIME is enabled automatically
Installing breakpad exception handler for appid(steam)/version(0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Assert( Assertion Failed: Illegal termination of worker thread 'Thread(0x0x84fb040/0x0xb4904b4' ):/home/buildbot/buildslave_steam/steam_rel_client_ubuntu12_linux/build/src/tier0/threadtools.cpp:2910

Installing breakpad exception handler for appid(steam)/version(1.0_client)
Uploading dump (out-of-process) [proxy '']
/tmp/dumps/assert_20130618204307_1.dmp
ILocalize::AddFile() failed to load file "public/steambootstrapper_english.txt".
[2013-06-18 20:43:03] Startup
[2013-06-18 20:43:03] Opted in to client beta 'publicbeta' via beta file
[2013-06-18 20:43:03] Verifying installation...
[2013-06-18 20:43:03] Verification complete
[2013-06-18 20:43:03] Downloading Update...
[2013-06-18 20:43:03] Checking for available update...
[2013-06-18 20:43:03] Download failed: http error 0

[2013-06-18 20:43:03] Error: Download failed: http error 0

[2013-06-18 20:43:03] Nothing to do
[2013-06-18 20:43:03] Error: Steam needs to be online to update. Please confirm your network connection and try again.

[2013-06-18 20:43:05] Shutdown
/home/buildbot/buildslave_steam/steam_rel_client_ubuntu12_linux/build/src/tier0/threadtools.cpp (2910) : Assertion Failed: Illegal termination of worker thread 'Thread(0x0x84fb040/0x0xb4904b4'
Finished uploading minidump (out-of-process): success = no
error: Failed sending data to the peer
Installing bootstrap /home/mikhail/.local/share/Steam/bootstrap.tar.xz
Couldn't find dpkg, please update steamdeps for your distribution.
Running Steam on fedora 18 32-bit
STEAM_RUNTIME has been set by the user to: /home/mikhail/.local/share/Steam/ubuntu12_32/steam-runtime
Installing breakpad exception handler for appid(steam)/version(0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Installing breakpad exception handler for appid(steam)/version(1.0_client)
Assert( Assertion Failed: Illegal termination of worker thread 'Thread(0x0x9940040/0x0xb4984b4' ):/home/buildbot/buildslave_steam/steam_rel_client_ubuntu12_linux/build/src/tier0/threadtools.cpp:2910

Installing breakpad exception handler for appid(steam)/version(1.0_client)
ILocalize::AddFile() failed to load file "public/steambootstrapper_english.txt".
[2013-06-18 20:43:07] Startup
[2013-06-18 20:43:07] Opted in to client beta 'publicbeta' via beta file
[2013-06-18 20:43:07] Verifying installation...
[2013-06-18 20:43:07] Verification complete
[2013-06-18 20:43:07] Downloading Update...
[2013-06-18 20:43:07] Checking for available update...
[2013-06-18 20:43:08] Download failed: http error 0

[2013-06-18 20:43:08] Error: Download failed: http error 0

[2013-06-18 20:43:08] Nothing to do
[2013-06-18 20:43:08] Error: Steam needs to be online to update. Please confirm your network connection and try again.

[2013-06-18 20:43:09] Shutdown
/home/buildbot/buildslave_steam/steam_rel_client_ubuntu12_linux/build/src/tier0/threadtools.cpp (2910) : Assertion Failed: Illegal termination of worker thread 'Thread(0x0x9940040/0x0xb4984b4'
Uploading dump (out-of-process) [proxy '']
/tmp/dumps/assert_20130618204310_1.dmp
Finished uploading minidump (out-of-process): success = no
error: Failed sending data to the peer
[mikhail@telecon_16 ~]$ export
declare -x ALL_PROXY="socks://127.0.0.1:12345/"
declare -x COLORTERM="gnome-terminal"
declare -x DBUS_SESSION_BUS_ADDRESS="unix:abstract=/tmp/dbus-idD06LJIjD,guid=83b5edde7095d9dccb2c171551c016f7"
declare -x DESKTOP_SESSION="gnome"
declare -x DISPLAY=":0"
declare -x GDMSESSION="gnome"
declare -x GDM_LANG="en_US.utf8"
declare -x GJS_DEBUG_OUTPUT="stderr"
declare -x GJS_DEBUG_TOPICS="JS ERROR;JS LOG"
declare -x GNOME_DESKTOP_SESSION_ID="this-is-deprecated"
declare -x GNOME_KEYRING_CONTROL="/run/user/1000/keyring-aHGp5Y"
declare -x GNOME_KEYRING_PID="1187"
declare -x GPG_AGENT_INFO="/run/user/1000/keyring-aHGp5Y/gpg:0:1"
declare -x HISTCONTROL="ignoredups"
declare -x HISTSIZE="1000"
declare -x HOME="/home/mikhail"
declare -x HOSTNAME="telecon_16.afbank.ru"
declare -x IMSETTINGS_INTEGRATE_DESKTOP="yes"
declare -x IMSETTINGS_MODULE="none"
declare -x KRB5CCNAME="DIR:/run/user/1000/krb5cc_a8bf53fb560287a0e062d08d51c016e7"
declare -x LANG="en_US.utf8"
declare -x LC_MEASUREMENT="ru_RU.utf8"
declare -x LC_MONETARY="ru_RU.utf8"
declare -x LC_NUMERIC="ru_RU.utf8"
declare -x LC_TIME="ru_RU.utf8"
declare -x LESSOPEN="||/usr/bin/lesspipe.sh %s"
declare -x LOGNAME="mikhail"
declare -x LS_COLORS="rs=0:di=38;5;27:ln=38;5;51:mh=44;38;5;15:pi=40;38;5;11:so=38;5;13:do=38;5;5:bd=48;5;232;38;5;11:cd=48;5;232;38;5;3:or=48;5;232;38;5;9:mi=05;48;5;232;38;5;15:su=48;5;196;38;5;15:sg=48;5;11;38;5;16:ca=48;5;196;38;5;226:tw=48;5;10;38;5;16:ow=48;5;10;38;5;21:st=48;5;21;38;5;15:ex=38;5;34:.tar=38;5;9:.tgz=38;5;9:.arj=38;5;9:.taz=38;5;9:.lzh=38;5;9:.lzma=38;5;9:.tlz=38;5;9:.txz=38;5;9:.zip=38;5;9:.z=38;5;9:.Z=38;5;9:.dz=38;5;9:.gz=38;5;9:.lz=38;5;9:.xz=38;5;9:.bz2=38;5;9:.tbz=38;5;9:.tbz2=38;5;9:.bz=38;5;9:.tz=38;5;9:.deb=38;5;9:.rpm=38;5;9:.jar=38;5;9:.war=38;5;9:.ear=38;5;9:.sar=38;5;9:.rar=38;5;9:.ace=38;5;9:.zoo=38;5;9:.cpio=38;5;9:.7z=38;5;9:.rz=38;5;9:.jpg=38;5;13:.jpeg=38;5;13:.gif=38;5;13:.bmp=38;5;13:.pbm=38;5;13:.pgm=38;5;13:.ppm=38;5;13:.tga=38;5;13:.xbm=38;5;13:.xpm=38;5;13:.tif=38;5;13:.tiff=38;5;13:.png=38;5;13:.svg=38;5;13:.svgz=38;5;13:.mng=38;5;13:.pcx=38;5;13:.mov=38;5;13:.mpg=38;5;13:.mpeg=38;5;13:.m2v=38;5;13:.mkv=38;5;13:.ogm=38;5;13:.mp4=38;5;13:.m4v=38;5;13:.mp4v=38;5;13:.vob=38;5;13:.qt=38;5;13:.nuv=38;5;13:.wmv=38;5;13:.asf=38;5;13:.rm=38;5;13:.rmvb=38;5;13:.flc=38;5;13:.avi=38;5;13:.fli=38;5;13:.flv=38;5;13:.gl=38;5;13:.dl=38;5;13:.xcf=38;5;13:.xwd=38;5;13:.yuv=38;5;13:.cgm=38;5;13:.emf=38;5;13:.axv=38;5;13:.anx=38;5;13:.ogv=38;5;13:.ogx=38;5;13:.aac=38;5;45:.au=38;5;45:.flac=38;5;45:.mid=38;5;45:.midi=38;5;45:.mka=38;5;45:.mp3=38;5;45:.mpc=38;5;45:.ogg=38;5;45:.ra=38;5;45:.wav=38;5;45:.axa=38;5;45:.oga=38;5;45:.spx=38;5;45:*.xspf=38;5;45:"
declare -x MAIL="/var/spool/mail/mikhail"
declare -x NO_PROXY="localhost,127.0.0.0/8"
declare -x OLDPWD
declare -x PATH="/usr/lib/qt-3.3/bin:/usr/local/bin:/usr/bin:/bin:/usr/local/sbin:/usr/sbin:/home/mikhail/.local/bin:/home/mikhail/bin"
declare -x PWD="/home/mikhail"
declare -x QTDIR="/usr/lib/qt-3.3"
declare -x QTINC="/usr/lib/qt-3.3/include"
declare -x QTLIB="/usr/lib/qt-3.3/lib"
declare -x QT_GRAPHICSSYSTEM_CHECKED="1"
declare -x QT_IM_MODULE="ibus"
declare -x SESSION_MANAGER="local/unix:@/tmp/.ICE-unix/1189,unix/unix:/tmp/.ICE-unix/1189"
declare -x SHELL="/bin/bash"
declare -x SHLVL="2"
declare -x SSH_AUTH_SOCK="/run/user/1000/keyring-aHGp5Y/ssh"
declare -x TERM="xterm-256color"
declare -x USER="mikhail"
declare -x USERNAME="mikhail"
declare -x WINDOWID="16777221"
declare -x WINDOWPATH="1"
declare -x XAUTHORITY="/var/run/gdm/auth-for-mikhail-mYrmWN/database"
declare -x XDG_MENU_PREFIX="gnome-"
declare -x XDG_RUNTIME_DIR="/run/user/1000"
declare -x XDG_SEAT="seat0"
declare -x XDG_SESSION_ID="2"
declare -x XDG_VTNR="1"
declare -x XMODIFIERS="@im=ibus"
declare -x all_proxy="socks://127.0.0.1:12345/"
declare -x no_proxy="localhost,127.0.0.0/8"

still not work with socks proxy :(