Adding in Relay exception handling, though I haven't yet found a way to test it out with more than a couple error types. It seems to work just fine.

Assets/Scripts/Lobby/AsyncRequestLobby.cs

             var lobbyEx = e as LobbyServiceException;
             if (lobbyEx.Reason == LobbyExceptionReason.RateLimited) // We have other ways of preventing players from hitting the rate limit, so the developer-facing 429 error is sufficient here.
                 return;
-            Locator.Get.Messenger.OnReceiveMessage(MessageType.DisplayErrorPopup, $"Error: {lobbyEx.Message} ({lobbyEx.InnerException.Message})"); // Lobby error type, then HTTP error type.
+            Locator.Get.Messenger.OnReceiveMessage(MessageType.DisplayErrorPopup, $"Lobby Error: {lobbyEx.Message} ({lobbyEx.InnerException.Message})"); // Lobby error type, then HTTP error type.
         }
     }
 }

Assets/Scripts/Relay/AsyncRequestRelay.cs

             }
         }
 
+        /// <summary>
+        /// The Relay service will wrap HTTP errors in RelayServiceExceptions. We can filter on RelayServiceException.Reason for custom behavior.
+        /// </summary>
-            // TODO: Implement
+            if (!(e is RelayServiceException))
+                return;
+            var relayEx = e as RelayServiceException;
+            if (relayEx.Reason == RelayExceptionReason.Unknown)
+                Locator.Get.Messenger.OnReceiveMessage(MessageType.DisplayErrorPopup, "Relay Error: Relay service had an unknown error.");
+            else
+                Locator.Get.Messenger.OnReceiveMessage(MessageType.DisplayErrorPopup, $"Relay Error: {relayEx.Message}");
         }
     }
 }

Assets/Scripts/Relay/RelayUtpClient.cs

         protected virtual void ProcessDisconnectEvent(NetworkConnection conn, DataStreamReader strm)
         {
             // The host disconnected, and Relay does not support host migration. So, all clients should disconnect.
-            Debug.LogError("Host disconnected! Leaving the lobby.");
+            string msg = "Host disconnected! Leaving the lobby.";
+            Debug.LogError(msg);
+            Locator.Get.Messenger.OnReceiveMessage(MessageType.DisplayErrorPopup, msg);
             Leave();
             Locator.Get.Messenger.OnReceiveMessage(MessageType.ChangeGameState, GameState.JoinMenu);
         }