Yosemite has caused many apps to prompt "allow incoming internet connections" - every launch
Sadly, adding the permission to the Firewall preference pane doesn't work.  It may work for one launch, but the problem returns when you quit and launch it again.  OS X doesn't like unsigned apps and will ignore your preferences for your own protection.  I had the same problem with Kodi and the only way around it was to sign the application yourself using the shell command prompt.

sudo codesign --force --sign - /Applications/Steam.app/ 


You will then have to OK it once to allow a connection, but it will then stop nagging you finally.