Actually AVG hooks into the windows Kernel (just like every other active AV), which Steam runs under (just like every other program), so it is a fair comparison.Actually it's nothing like that Firefox thingy (seeing the add-ons run ON Firefox, while AVG doesn't run ON Steam)
If there's something going on, then it's AVG's fault, it's the modifications that AVG is doing to windows that's causing the issue. Steam can't replace your windows Kernel (and even if it did, that would disable AVG).