Steam couldn’t care less, it’s your graphics driver (mesa-intel) that’s warning you that something is trying to use a kernel interface that it’s not allowed to. And helpfully suggesting a command to permit it.
It’s basically a “Some program is trying to read your passwords. Allow?”, excellent UX design.
Kind of, it allows programs to look at performance data, i.e. very accurately measure things like CPU usage over a period of time. There’s some docs (including a nice explanation of the risks) here: Perf events and tool security — The Linux Kernel documentation
It potentially allows side channel attacks for exploits like spectre/meltdown and should therefore not be enabled most of the time.
That said, this particular setting only affects your GPU, which makes the risk of exposing anything sensitive quite low (because, well, encryption keys almost never make it into the GPU).
On the other hand, I have no clue why games would be trying to use this interface, so it’s probably not necessary either? My best guess is that your FPS counters in some games might be imperceivably less accurate. Or maybe steam’s hardware survey will have less info.
I probably would leave it disabled unless I noticed anything being wrong. I also wouldn’t lose any sleep over enabling it.
You can use boot.kernel.sysctl.
I think for this to work you also need to have early KMS set up, but I think that’s the default for intel drivers. If adding that sysctl setting doesn’t work feel free to check back.