Did you install the Steam support from the Ren'Py launcher? That's required for any Steam integration. Remember also that you'll have to go through Steam to clear any achievements if you'd like to re-see the popup, as the clear method only clears it on Ren'Py's end. You can install the Steam support via the launcher Preferences -> Install Libraries -> Install Steam Support. The overlay isn't related to whether Steam support is installed or not, just if you're playing it through Steam. Let me know if that fixes it for you!