The Steam version uses Steam's licensing procedure. The big thing with the game in the "modern" Windows OS is the install directory. The Steam install will default to "C:\ Program Files (x86) \ Steam \
game structure", which is fine if you don't plan on making any changes to game files, such as mods or settings in the game. Windows now protects its system folders from "unauthorized" changes, meaning anything that Windows doesn't do. The game was written in the early days of Windows XP - no service packs, and as such, had no similar "protection" scheme.
Another major issue is the Windows User Access Control (UAC), which was ostensibly another "protection" layer that the user could control. Vista was the first version with it, and if you did a "default" install of Vista, you would get twenty questions for each app you went to run on the computer, including ones that were part of the OS install. Most users turned the intrusions down. This is where the Compatibility tab of the Properties for the SH4.exe come in, with the "Run this program as an administrator" and "Disable display scaling on high DPI settings" come in. Even Windows XP with SP3 has been polluted with some of this... with Vista and the versions after, it cannot be avoided.
Couple all of that with the latest Windows update that coincided with the Win10 Founders Update (I could display an acronym there, but I won't) and you potentially have a black screen that might need the display driver rolled back. See THEBERBSTER's thread "
SH4 <> TUTORIALS <> HOW TO DO IT <> INFO <> DOWNLOAD LINKS -STICKY INDEX #12 post for the video, and #3 for the moving Steam...
Steam version of SH3, 4, & 5 can all be made to work, it's just a bit of a bother, with each version being slightly different in approach, some (SH5) being more difficult than the others.