I usually just download the installers from their website. It’s not like I would need to install or update games on a day to day basis…
If the installer is only available for Windows (or if I am using my ARM laptop) I use innoextract to extract the files without needing to run the installer.
For Windows games I found that the easiest way to deal with them is to add them to the Steam Library as a non-steam-game, and to force Proton on them…