Steam.app would like to receive keystrokes from any application
Under Catalina's security model, Apps are supposed to operate isolated
  from everything else, including your data. If they want to use your
  data or a service from another App, they must ask you for permission
  to do so.


Source.

This seems reasonable given the message in the dialog box, however I can find no direct information directly from Apple so please take it under advisement until it can be confirmed.