Hi, I'm John! I will help you with this.
Just to make sure I understand correctly, are you saying that when you try to launch the game from the Microsoft Store or Xbox app, it opens Steam instead and won't let you play because you don't own it on Steam?
Could you let me know the name of the game you're trying to play?
Any additional information you can provide will be helpful in diagnosing and resolving the issue.
Click "Reply" below to let me know.
Regards,
John J.D.