Correct, they are NOT added to your steam account.
You get access to a page with hundreds of download links. When you "download" a bundle game that adds it to your library. You can do that at any time, you don't have to do it now. Then it will list the actual files - you typically download each one as a zip file depending on if you want Windows/Mac OS/etc, unzip and run the game yourself.
If you wish you can also download the itch.io App, https://itch.io/app, which once you have added the game to your library (the initial "Download" button on the bundle download page) the game will appear in the app. It kind of acts like a very simple Steam application and can show your library, manage downloads, automatically download updates, and run the games. Its very basic, but does the job. I'd certainly recommend using the app, but "collections" to organise the games within the app take a bit of getting used to how they work (its not very easy/good).