Then my memory must be wrong.

Maybe my memory is wrong or it was different in an older SteamOS version. I remember Valve changed something about mounting SD cards a couple of months ago.

I don't think Steam lets you pick the location for Proton's virtual environments which is where Steam installs non-Steam games. AFAIK they are always in the home directory and you can only pick a random location when it's a portable game without setup.exe.

then chang the path of the exe and the working folder to those of the installed game

I feel the need to underline this part because removing the setup.exe entry and the adding the installed exe doesn't work. The entire virtual drive gets deleted when removing setup.exe. This makes the procedure a bit more complicated than it should be but it's needed when it has to go through Steam because of Steam Deck Game Mode.

Games? Nigh impossible.

Decades ago DOS games had custom intro animations but that's not really relevant for current games.