Ethernet seems to be the problem. I'm using the newest Version of GFE with a GeForce 1070. And if I use my Edimax W-Lan Stick on my RPI2 with Recalbox 4.1.0. Moonlight works flawless.
If I disable W-Lan and jackin Ethernet I have the same problem as Florian. So black screen with sound, sometimes I see also the Steam splash screen for some secons until it freezes or goes back to the Recalbox menu. So I'm happy that it works with W-Lan.