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As you said, switching to external chat platforms may be the better choice, if you feel uncomfortable about your presence in these lists. Steam likely won't give you an option again to change the appearance of others profiles in this way.
Only way you don't show on a friends friend list is if they hide ALL of their friends. If your friend does this it won't matter whether you have a public, private or friends only profile as you won't even be visible.
Options are change your privacy settings to limit information randoms can see or have friends hide their friends list. Personally I think it'd be very wrong and very cheeky to ask all your friends to hide their friendslist.