The immediate solution is to use ext for your Steam link:
[ext[steam://rungameid/251570]]
If you didn't want a link, another solution would be to use `single backticks` around the text containing the //.
This problem actually doesn't have anything to do with the fact that you're writing a list. //, outside of a few situations where TiddlyWiki recognizes a URL (the steam: protocol is evidently not one of them) starts italics, as you've found. Italics are an inline-mode element (that is, they can't continue across multiple paragraphs, list items, and so on). With an inline-mode element open, other block-level formatting (list, code block, paragraph, etc.) is suspended until the italics are closed. See
Block Mode and Inline Mode for details on this.