Turns out that this is a graphical glitch and not specific to Linux client. (reproduces as in on Windows) It's just that the asterisk is not shown in GUI for the non-ascii character, hence it looks as if the keyboard layout doesn't work. Steam actually does accept the characters even though login GUI lies and lets the user in. I'd close but unclear about your bug processing system.
Nothing extracted yet.
localectl
System Locale: LANG=en_US.UTF-8
VC Keymap: fi
X11 Layout: fi
X11 Model: pc105
X11 Options: terminate:ctrl_alt_bksp,
IOW X11 keyboard layout is fi. Steam should respect this. Also:
System Locale: LANG=fi_FI.UTF-8
VC Keymap: fi
X11 Layout: fi
X11 Model: pc105
X11 Options: terminate:ctrl_alt_bksp,
Same effect