Very strange. I don't have a Windows PC to reproduce. Any way to figure out what, exactly, it's doing?
Steam games played via Steam are basically just a fancy URL: "steam://rungameid/523070". Steam games launched from a desktop shortcut that Steam made also use that URL, so they interact with Steam to launch the executable. And URL is Window's term, not mine. You can also use these URLs in a webpage to have a link open a certain title in Steam or even launch a game in steam.
If you make a shortcut yourself by pinning it to the taskbar while the game is running, you get a traditional shortcut, as made by Windows and most other OS's: "C:\SteamLibrary\steamapps\common\Black Forest\Black Forest.exe"; which just goes straight to the executable, skipping Steam altogether.
