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It's mostly why Steam is not recommened to be used with externals, games installed ther either.
Yes, you can do it and it works, but many don't know or are not aware of how to set it up properly to avoid issues, so it is simply "not recommended".
They even have "not" in bold, as you can see.
https://support.steampowered.com/kb_article.php?ref=7418-YUBN-8129
It's mostly just a little thing people could try if they're confused, plus I just saw no harm in it.