The Atheros/Killer wifi chip used by MSI on some of their recent hardware is NOT supported by the SteamOS kernel - it requires a 4.0 kernel (or backports from post-Alchemist ath10k/). New firmware is also required for this hardware, which is not included in the firmware packages in SteamOS.
MSI are claiming out-of-the-box SteamOS Support (with a capital S) for their GAMING-series motherboards, e.g. http://www.msi.com/product/mb/X99A-GAMING-7.html#hero-overview
The OEM requirements at https://github.com/ValveSoftware/SteamOS/blob/master/OEM.md say hardware should use in-tree kernel modules only, for all hardware.
The Atheros/Killer wifi chip used by MSI on some of their recent hardware is NOT supported by the SteamOS kernel - it requires a 4.0 kernel (or backports from post-Alchemist ath10k/). New firmware is also required for this hardware, which is not included in the firmware packages in SteamOS.