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.
Flatpak is installed on basically every Linux distribution. Literally all I do to install Steam is go to the Software Center and search “steam” and click install. It takes 2 clicks.