There is still going to be a record out there somewhere that you bought and played the game. Depending on where you live, that could pose an issue, especially in these modern morality police times we live in, with big brother wanting to look up your asshole with a microscope, and the general public becoming increasingly interested in judging everyone for their perceived transgressions.
There are plenty of games where there is so much content, you may not even realize something is in there - maybe where you live bestiality content is illegal for example, but you didn't realize there are a handful of bestiality scenes buried in the game somewhere.
It may sound paranoid, but I for one avoid having any directly identifiable link between me and porn, it just makes life a lot simpler, I don't need to worry so much about if a lunatic party takes over in a few years and suddenly decides X or Y is bad.
Also worth noting, there have been sooooo many big hacks and data breaches in recent years, it's entirely possible steam has been or will get hit at some point.