I personally just stuck the executable onto steam and call it a day, no need to bother with navigating to my desktop nor needing to go into my folders to find it. The experience still feels basically the same as any other steam game and even has its own modding scene with one click installs which does the same job as the steam workshop. The best way to explain to your friend is that yes the game is not on steam, but operationally it is very similar. And just as I am writing this you can even enable steam overlay on the game if you enable it after adding it to your steam library as a non-steam game. Literally feels like it's on steam without needing to buy it on steam.
Another thing I would like to add is that steam isn't even that bad with its licensing of games, it's pretty lax is most areas and you don't lose that copy unless you specifically ask for it to be removed. The only times I have lost access to a game is not due to steam but the actual developers doing things behind the scene.