Did you try clicking the Start button?
I didn't try running the batteries dry, but didn't have a problem reconnecting after holding the Steam button down long enough to power it off, then turn it back on again. Same after leaving the controller sitting to auto power off.
After pulling the receiver out, turning the controller off and then reconnecting, the game didn't initially respond to button and stick input, until I hit the start button (which brought up the in-game menu). After that everything worked normally.
