That's usually because the developer chose to have a single build which supports steam, but doesn't require it.

It's a valid development choice, though not the only way to achieve the same result. (For example, a more sophisticated method might look for the accompanying steam DLL before trying to load it, but that is less straightforward and introduces complications which can lead to problems - simple is usually good!)

Basically, the mere presence of a DLL doesn't necessarily imply a dependency on the corresponding external service.

EDIT: sometimes the developer can mess up and create an unwanted dependency, so you're right to be on the lookout for such things