A future Steam client will set Name to the proper string. The filename will still be sanitized.
Today's beta client has a fix, do you still see problems after updating?
No, it is now fixed.
Desktop/Brtal Legend.desktop is created, which defines:
Name=Brütal Legend
Nothing extracted yet.
e.g. Create Desktop Shortcut for Brütal Legend creates a shortcut Brtal Legend.desktop, which specifies Name=Brtal Legend