Valve put up a new Steam Client Beta yesterday and while small, it is a pretty damn useful update for Steam Play users.
Firstly, they claim to have solved the issue of having an invisible cursor when you bring up the Steam Overlay for Windows games played through Steam Play. It's a massive nuisance when it happens, so it's good to see some time spent fixing it. However, it's not yet fully solved. Some games it works fine, others it does not.
I tested out Deep Rock Galactic in Steam Play and when you bring up the Steam Overlay, there's no cursor. However, if I alt+tab and come back to the game it is now there. Once I click to give the actual game focus and try the Steam Overlay again, the mouse is once again invisible.
Speaking about it on Discord, Valve said "yeah it looks like it only partially fixed things" and "there's two more bugs that were hiding behind it" and so they're working to solve the other issues. With that in mind, hopefully it won't be long until it's fully solved. Update: Valve put out another beta, which solves more mouse issues.
Valve also said they've now solved the issue where the Steam Client wouldn't automatically update or download Proton, before launching a Steam Play title. Hopefully now, we won't have to keep installing it through the tools menu.
Also, if you noticed when connecting a controller in the previous beta it would now give you a pop up to let you know it's connected. They've now added an option to disable that if it bugs you.