[2021] I am unable to play with the DLC without launching steam first

Steam has to "phone home" every now and then to verify your ownership of the DLCs installed in files in your game, otherwise people could get them for free by just sharing those files.

However once run under Steam you should then be able to run stellaris.exe by itself and get the DLC for a fair while, before needing to run under Steam again. And of course you'll need to run it from Steam to check for game patches every now and then anyway.

So if you run it once from Steam can you then exit Steam and it be okay for a while?


An alternative is to use the standalone Paradox client (aka launcher v1) instead of the Steam client. However that only supports this game, not HOI4 and CK2 that I see you also have.  

There is nothing that can be done about this I'm afraid. You'll need to run it from Steam.

Or, buy a non-Steam edition of the game from, say, GoG.