When documentation says “and have the script do”, that usually means “add to the function”, not “add the code outside of the function”, so your updated code is correct. I can probably update the documentation to have a fully copy-paste-able example now that I no longer update the 2.2.5 version of GMLive.
Unable to find a handler for exception { value : Please add a completely empty room, add live_room_start(); to it’s Creation Code, and assign it to live_blank_room in obj_gmlive’s create event.
The error kind of speaks for itself, but any additional code goes after live_init call, just in case. The next release will have this error slightly more readable (I found a way to get rid of {} in the error message)