UWPHook can import Xbox/Windows Store (GamePass) games into Steam (as non-Steam shortcuts).
You're right that they have no exe. It looks like the way UWPHook works is by adding itself as the exe with the appid as an argument:
"C:\apps\UWPHook.exe" HumbleBundle.CartoWin10_q2mcdwmzx4qja!Game. I find that I generally cannot use Steam features in these games -- Steam Input controller support and Steam Overlay don't work.
SteamGridDB Manager can import games from several other storefronts:
- Epic Games Launcher
- Blizzard Battle.net
EDIT: Looks like the Steam API changed since SteamGridDB Manager's v0.4.2 release so the app fails to function. It's supposed to be fixed in the next release, but there's no ETA and building from source is nontrivial.
Achievements and similar stuff won't transfer to Steam (since you don't own the game there). You can use some Steam features like Remote Play, but not other ones like Cloud Saves.
Neither of these solutions are as streamlined as GOG Galaxy's integrations -- Galaxy is mostly automatic and even shows your GamePass library with buttons to start an install. However, adding games to Steam allows you to launch them from Big Picture.