GNOME doesn’t really care about desktop shortcuts, but you could put those .desktop shortcuts Steam created into ~/.local/share/applications instead, and then they will appear alongside your Applications in GNOME.

~ represents your home directory, basically an alias for /home/username/ so you wouldn’t have to type that in a terminal all the time. To get more in-depth help in the future, you should probably state what Linux distro (Ubuntu, Fedora Arch…) you are using too, different distros can have different ways of doing things!