As the Finder window is showing the content of an application bundle, I think that application is trying to automatically execute a file at login, but it used the path to that directory, instead of the file that should be executed. The fact there is a steam.sh file could confirm my idea.
The checkbox you see on that dialog box applies only to applications you open yourself after login, and which are still open when you restart/shut down the computer. As far as I experienced, the Finder windows that were open before to restart/shutdown my Mac are re-opened when I log in, even if I don't select that checkbox.
Look for any place where an application can register a file that is automatically opened/executed at login, and remove the reference to that directory.