In the System settings, under Window Management > Window Behaviour, in the Focus tab, there is a Focus stealing prevention selector. If it's set to extreme, then it does prevent switching to another desktop when I open a window that gets sent there.
I think that's what you want but I guess it would mess with all applications, not just Steam. I don't think you can do it per application.
I remember there being a window management protocol that would allow more control but I don't think Kwin implements it yet.