You can hide it from prying eyes.
You need to "mark it as private" and "hide this game" by right clicking once its in your library. Then "View" -> "hidden games". Make sure to also turn off the visibility of the game in your discord (or exit discord while playing such games - even if its a non-steam version).
If a game has steam achievements or if your friends can see you onliine/your activity its also something to consider. I can't remember my exact settings, but i made a self-spy account that i used to check what my steam friends can see on my profile. I hope it help you or someone.