Yes, that’s my point. You will eventually log into something when using the computer. So while it’s weird that MS made it mandatory to sign into Windows 11, who cares.
They can also get your data without an account if they wanted.
On Linux, you can install Steam inside a sandbox for better security. Easy to do with either Flatpak or Bubblejail. This makes it so that Steam does not have full file system access.
Not something most people are gonna do. If you need privacy and security on the level where even Steam worries you, Windows can be made private too. It’s not even that hard. You just install a different ISO that allows local accounts and do all the necessary tweaks to harden it.