ConnectionManager OnMessage received before OnConnected. Bug?

[NBG-Zorian]

As title says, in some cases I am first receiving custom messages on client that server sent and just after that on connected state changed. It is really weird that Connection callbacks comes after messages that needs to be received then you already have connection. I think callbacks order are wrong on client?
Could it be this case? Have anyone reproduced this?

Can only reproduce this while connecting with steam ID, ip connection works as expected (but might be because I am testing locally without delay.