Direwolf you cant turn off steam with KB:AP as it loads no matter what you do unlike Batman Arkham Asylum and a ferw others I got where you can bypass it.

Anyway steam dont DL if you got a game open (As I found out when I tryed playing a Single player steam game while trying to DL KB:AP)

I can properly start the game now and play the game without pulling my hair out.
But it's still not the normal "game speed" wich is weird since king's bounty the legend worked.