I don't get why this should be done any differently than on Windows? Steam updating itself without dependency on a third party package manager contributes to it beeing distro agnostic.
Because Windows doesn't provide a service for updating 3rd party software. This feature would provide a level of convenience for Linux users that would make Steam far superior under Linux when compared to other platforms. They wouldn't even need to build "real" packages to provide this benefit, just generic "launch steam and update" packages (with appropriate version information). At that level that's something that is easy to run through alien and provide repositories for the vast majority of popular distros. If you don't run a supported distro then that's fine, but if you do then you get a nice little update reminder when Steam needs to update your games.