I don't recall this ever working, but inside the Steam Overlay, dead-keys does not work at all. This can be a problem if you were to message someone in Spanish using the Nordic layout which is my case, as ~ is a dead-key. Nordic layout for reference:

Typing España in the regular steam chat is not a problem but if you try doing this in the overlay while playing a game, you'll only end up with Espana. Pressing the dead-key located next to backspace also provides no output at all in the steam-overlay but provides you with ´ in the regular steam chat. However, if you press AltGR and that same key, you'll get | in both the regular chat and in the overlay, as this combination is not a dead-key.

This functionality work inside a Windows VM, and even in Wine.

Output of locale:

LANG=en_DK.utf8
LANGUAGE=en_US:en
LC_CTYPE="en_DK.utf8"
LC_NUMERIC="en_DK.utf8"
LC_TIME="en_DK.utf8"
LC_COLLATE="en_DK.utf8"
LC_MONETARY="en_DK.utf8"
LC_MESSAGES="en_DK.utf8"
LC_PAPER="en_DK.utf8"
LC_NAME="en_DK.utf8"
LC_ADDRESS="en_DK.utf8"
LC_TELEPHONE="en_DK.utf8"
LC_MEASUREMENT="en_DK.utf8"
LC_IDENTIFICATION="en_DK.utf8"
LC_ALL=

Keyboard Layout settings for my system is the system defaults, as shown here:

OS is Debian Sid, but when I ran Ubuntu 3 years ago, this didn't work either, making me think it never actually worked.