I believe the Steam client just does an xdg-open on the screenshot filename, so the behavior is going to come down to what your configuration is for xdg-open.
I have my filemanager set in the preferred applications, so I've reported it to MATE directly. Not had this issue in other desktops.
Nothing extracted yet.
Under MATE desktop the Show On Disk feature for screenshots doesn't work.
For some reason on my desktop it loads up a media player?