Hello!
We do agree and we are planning to implement on our software per app traffic splitting on Windows too. Currently you can enjoy per app traffic splitting on Linux (AirVPN Suite) and Android (Eddie Android edition). If the machine you use for Steam is based on Linux you can already have per app traffic splitting with our software.
If you run Windows, in the meantime you can consider WireSock, which offers traffic splitting and reverse traffic splitting (on an application basis) and is fully compatible with our WireGuard servers. The Configuration Generator will generate the profiles you wish.
Kind regards