I see a lot of applications made with HTML for UI in Chromium Embedded Framework and I don't understand why they don't use XAML like WPF or something similar.
Should I use Chromium Embedded Framework over this? At the same time this uses C++ which is limiting because I only know C#.
tl;dr
Writing client apps in HTML/Javascript is good for cross-platform support.
Details
WPF is a good framework for developing rich client-side applications for Windows. This limitation is important. Developing client-side code in .NET, especially with a framework that's so tied to a single OS, ties you to one specific operating system. The example apps you bring, Steam and Spotify, are both cross-platform apps that have clients for Windows, MacOS and Linux and even browser-based web apps.
It makes sense, when you aim for cross-platform support, to share as much code as you can. There's no point in writing the same login flow, the same network access code, the same logic again and again, once in C# for Windows, in Swift for MacOS and in, say, Python/Qt on Linux. You want to find a common, shared platform that only needs minor modifications on each platform. HTTP/JS using a browser-based app framework (CEF, Electron or whatever) makes sense.