The newsletter 'All Things Millennial' by Steven Conway explores the characteristics and social media behavior of millennials, highlighting their unique friendship dynamics and how brands can better connect with this generation. It emphasizes the importance of brands acting like friends instead of merely marketing entities, fostering mutual respect, honesty, and trust while engaging with millennials in a meaningful way. Recommendations for brands include being authentic, sharing relevant content, and offering value in exchange for engagement to earn millennials' loyalty and attention.