Steam warns you because the browser is only meant for Steam
They decided not to prevent third party links off site (usually) for when you ARE using a browser.
I never navigate off the client inside Steam, but then again I can barely navigate IN the fucking client half the time lmao.
Steam does it for good reason, because devs and users post links that they don't control on game pages and community content, when your using a normal browser you expect to browse, when your clicking through video games, the last thing you think of is the fact its actually a web browser...its meant to be just for Steam pages from the start, they just warn you if your leaving Steam because its not designed for external page browsing and they have no way to filter the content and probably don't force you to consent to them parsing all your web data (because ppl would refuse) compared to the fact you do consent to them monitoring the Steam domain through the app.
Its not a flaw on Steams part, its done by design.