Can Conjurer's Closet be used to keep a stolen Commander?
You got it wrong, but this interaction is tricky. Sliver Overlord can be put in the command zone, but the ability of Conjurer's Closet will return it to the battlefield anyway.

We follow the instructions in the triggered ability:

1) "exile target creature you control": instead of putting it in the exile zone, we put it in the command zone. We don't first exile it, then put it in the command zone. The commander is directly put in the command zone.

2) "return that card to the battlefield under your control": notice how this doesn't say "the exiled card". It says "that card". So we return the card from the command zone to the battlefield under player B control (because "your control" refers to player b, as he is the one who controls the triggered ability).

The rule that allows this to happen is the same one that allows to return the card from exile in the first place:


  400.7g A resolving spell or activated ability can perform actions on an object that moved from one zone to another while that spell was
  being cast or that ability was being activated, if that object moved
  to a public zone.


Here is a link to a similar ruling in Wizard's forum, about a commander and Cloudshift. Post 12 in that thread is from an official Net Rep, therefore that ruling is official.