It's because steam try to check installed packages by ubuntu-packages names (and I think steam try to use for it dpkg or apt). Mageia don't use apt/dpkg and have different packages names. So, it's the reason why steam start up script show you that message.
Also often issue when Steam on start up with message from your screenshot also show additional message "%username& is not in the sudoers file", but after Enter click Steam load fine.
First thing for me was to edit ~/.local/share/Steam/steam.sh or ~/.local/share/Steam/steamdeps.txt, but if steam files was edited manually Steam re-unpack it from first boot archive ~/.local/share/Steam/bootstrap.tar.xz. So, manual editing don't solve this problem.
Look like we need to edit /usr/bin/steamdeps for using urpmi. By default it contain commands with dpkg and apt, but in head-comment it have next text
It is intended to be customized by other distributions to "do the right thing"
And we also need to create new dependencies list with actual and correct for mageia package's names. I don't have enough free time for that right now. May be I will try to do it later.