Game Clients normally connect to one another via the coherence Cloud services, but it is also possible to connect Clients via 3rd party relays, such as Steam Networking, Epic Online Services and Azure PlayFab. These relays are essential for the Game Clients to find one-another and maintain connectivity. As an additional bonus, you may get a significant reduction in lag.
This makes it easy for the players of your coherence-enabled game to host Replication Servers themselves, without using our cloud services.
For the particulars, see our client-hosting article.