If the user decides to not want start menu shortcuts but does want desktop shortcuts, it would leave the user with a symbolic link on the desktop with no destination.
I like the idea in theory, but that would require that the start menu shortcuts become constant. A possible solution might be to create a folder in the steam directory that contains the .desktop file of every game you've installed and make both ~/Desktop and ~/.local/share/applications only contain links.
I don't see any downside of having a file stored in ~/.local/share/applications, even if the user doesn't want it. It's common for basically all apps to have an associated .desktop with their installation (such as in /usr/share/applications).
However, I get what you mean, but I don't think it's necessary.
Alternatively to creating a Steam-specific folder containing all .desktop files, we could still create them in ~/.local/share/applications with NoDisplay=true (see https://specifications.freedesktop.org/desktop-entry-spec/latest/recognized-keys.html).
Nothing extracted yet.
Your system information
Please describe your issue in as much detail as possible:
When Steam creates a desktop shortcut after clicking to install a game, it creates a
.desktopfile in both~/Desktopand~/.local/share/applications.This has a problem that it isn't treated as a proper shortcut (containing an arrow shortcut icon), which is the behavior on Windows.

(The arrows.)
To fix it, Steam would have to create a symbolic link to the same file in
~/.local/share/applications, therefore treating as a symlink and correcting the behavior in the desktop files, instead of duplicating the same.desktopfile for both locations.See also my report on KDE's side: https://bugs.kde.org/show_bug.cgi?id=493050