I use Archlinux 64-bit, with the packaged PlayonLinux. Using a 32-bit prefix, everything works fine and I can install Steam without any problem: the Steam installer can be downloaded from PlayonLinux (using Install components) and I can run it through to it.
On the other hand, this is not the case when creating a 64-bit prefix, and then a virtual drive. Requesting Steam from PlayonLinux (using Install componenets tab) leads to downloading SteamSetup.exe, but when the Steam installer runs, the window dialog of the installer is completely empty. There is only the title bar corresponding to the Steam installer, but inside the window there is no widgets whatsoever.
Using winetricks, I can create a 64-bit prefix and then install Steam without any issue.
Am I doing something wrong? Thanks for your suggestions.
Responding to myself: there seems to be a zlib incompatibility, as explained on Arch forums: https://bbs.archlinux.org/viewtopic.php?pid=1714409#p1714409. Interestingly some report the issue with 32-bit prefixes - for me it was for 64 bits. Removing the packaged zlib solved the issue.