I kinda doubt Steam would allow for cloud saves on an emulator because they wouldn't want potentially copyrighted data ending up in Steam cloud saves if a game saved DLC content or something to a save file. RetroArch is on Steam but I don't think it supports cloud saves last time I tried it on my Steam Deck. In RetroArch's situation, the non-Steam version has more core support than the Steam version so I end up using the non-Steam version (which is also provided via EmuDeck).
Edit: I've been corrected, looks like Steam Cloud would be a legitimately useful reason for Dolphin on Steam. I didn't realize saves worked on RetroArch.