Does Steam know, and will it tell me, if I am installing a game that I already have installed elsewhere on the same account? In particular, I don't want to install the same games in Windows and OSX and Linux on the same computer, but more generally I'd want to avoid installing games without cloud synced saves in multiple places accidentally.
The Steam client application does not have this feature currently.
If you visit your profile, go to Games, then all Games, it will give you a list of games including which are ready to play. However, it is not reliable for games installed on other PCs. For example, I have GTA IV and X3: Terran Conflict installed on my laptop, and neither of these show up as being available on the Steam website when viewed from my desktop.
I have both Ubuntu 12.04 and Windows 7 running on the same PC and games installed on both operating systems. The Steam application for either of the operating systems does not recognize whether the same game has been installed on the other OS.
I suspect that even if I pinpointed the directory of the Windows game to the Ubuntu Steam client, it wouldn't work simply because both the versions of the game are not identical. This is not just a DirectX/OpenGL issue, I think, but something quite general which makes porting necessary for games from one OS to another. I am not sure about how many games's codebases are completely platform-agnostic.
I think the simple reason to not implement this feature is simply that it isn't required by a lot of people currently. This is likely to change when SteamOS comes out unless NVIDIA and AMD both start churning out platform-agnostic drivers.
So a simple solution (since I don't think this feature will be implemented and no details have been given on the Steam website) is to maintain a rule of thumb while installing games. For eg., I usually install less time-consuming games on Ubuntu as I stick to small play sessions between coding breaks.
As you said when you have cloud sync, there is no problem. In games which don't have cloud saves, I suggest sticking to one OS.