This was a quite irksome when Steam was released for mac and it wouldn’t work on my Macbook, due to running a case sensitive drive. It was quite odd, but I guess the default these days is to let programs do what they will.
I found an excellent walk through below on how to get things up and running. It’s a workaround and has some issues if you are a sysadmin type. I did it, it works and I’m up and running with Steam even if it’s running in it’s own disk image.
Remember to move the Steam.app to the disk image prior to creating the alias and enjoy.
You can see the walkthrough here