Ï use Steam for many of my games as it is, I have not encountered any issues with FFXIV... and if in case... yes if you do try to shut down Steam normally it would say waiting on shutting down FFXIV, however if you force shutdown Steam while playing the game, the game would still run.

I don't see the issue, nor do i feel it... the ping to the game is around 13-16ish.