Yes, it happens. A while back I downloaded Borderlands GoTY and when it was "done" it brought me to the Steam sign in. I was not pleased because at the time it was not listed as being a Steam game. More annoying was when I bought Red Alert 3 from them and it was not stated that it uses Securom
Okay, that sounds a bit like what happens when you buy some retail boxed games that require Steam. If you insert the disc and run, it sets up a directory and then prompts you to go to Steam for the actual game files. In any case it requires Steam for the vast majority of the setup and files and, of course, to actually run. Naturally, if you happen to know it uses Steam the best way is to simply take the provided key and activate it on Steam, letting it handle the rest.