But it still doesn't apply here. At most they could cross-reference it with a public Steam profile that has the game listed as owned after the purchase (actually, I doubt they would have the account ID to prove it for sure, but with enough purchases they could likely figure it out), but by then you've already sort of revealed to the world you bought whatever embarrassing title yourself.
No Steam API access or public data needed. Major game studios include analytics suites (bspyware) which also tend to collect information on what other software you have installed, can harvest data from Steam client side, etc etc.
That data is then sold back to the data brokers.