Literally only 1% of Nintendo fangames get DMCA'd. AM2R got C&D'd because Nintendo was about to release their own Metroid 2 remake. So unless Nintendo is cooking up a Shy Guy surfing game of their own, then this should be fine.
Download it in desktop mode, extract the zip to a folder. Then right click the .exe file and select "Add to Steam". Go back to gaming mode and select properties on the game, and make sure it uses a proton compatibility layer, or else it won't launch.
