installed Penumbra: Black Plague, and got no warning. then again I only use windows defender, and malwarebytes from time to time
probably a false positive. it could have to do with the fact the game was originally meant to only play with the CD in the drive (that old school DRM, aka what the consoles still do), and they basically had to make a "no cd" crack for their own game. the nature of such a crack is to 'fool' the system, and that could be flagged as trojan like behavior
who knows... but I'm pretty sure a Steam game isn't gonna come with a virus