It's not a bug, it's a feature! :)
Long-standing ubuntu behavior - https://ubuntuforums.org/showthread.php?t=1243181
steamclient should fix this. i mean is impossible for the steam client to create the .desktop as trusted? after finish the installation? they did proton they can fix this too.
This is what my desktop looks like on Ubuntu 18.04 with Gnome:

All shortcuts were created automatically by Steam.
This is what my desktop looks like on Ubuntu 18.04 with Gnome:
All shortcuts were created automatically by Steam.
Is this a steam bug or a Gnome bug? Gnome is removing desktop icon support.
Is this a steam bug or a Gnome bug? Gnome is removing desktop icon support.
It seems Ubuntu 18.04 still lets you put icons on your desktop since it comes with Nautilus 3.26, according to this site: https://thishosting.rocks/ubuntu-18-04-new-features-release-date/
For appropriate of launching .desktop shurtcut you must make right-click on icon and click "Allow Launching". And shurtcut launching only on Desktop board - nowhere else. If you creating folder on desktop and remove shurtcut to this folder and you can't launch no way.
Nothing extracted yet.
Desktop icons launchers don't work and don't have icon in ubuntu 18.04.
This issue was also for wine, the launchers from desktop are not well created it only shows a .desktop file but without logo.
If i doble click it says, the launcher was not marked as trusted, mark it and launch? Should be automarked as trusted when installed.
Not sure it's a proton bug, or a steam linux client bug.