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I wouldn't worry about it unduly unless it bothers you with keeping things tidy and usable. As the files left (unless it's mods) are usually tiny. They can be deleted manually in any case.
If a file is generated by the program after it has been launched such as a log file that will remain in the folder or you may have added a fix such as DSFix for Dark Souls Prepare to Die edition and that would also remain as it was not downloaded by Steam.