To the Steam shortcut first, it goes through the Steam front-end for licensing purposes. It used to be that you had to start the game through Steam once after installing to activate the licensing. You could then copy the game folder itself elsewhere and use it without the Steam shortcut (the Wolves of the Pacific folder - NOT the Steam folder). It might be different now, but I haven't been using my Steam versions of SH3 & 5 of late, so I do not know what updates, if any, that they have done.
As for using the game in the Program Files folders, Windows will roll back all cfg and ini file changes done by JSGME, since neither program are "authorized" by the 'modern' Windows (they were written to WinXP and DirectX v9 standards). With TWoS, since it has its own "installer" app, Windows is initially none the wiser of the changes made. However, you often foul the props when doing the TDW Options editor, and often only get 8 of the 9 changes to take.
With SH3 and 4, since you are usually dealing with using JSGME as a mod activator, as mentioned with Windows, all of the cfg files will be rolled back to what they were before using JSGME. You then end up with a mish-mash of a mess of mods. When you remove the mods, the game's Save folder is already "polluted" with the mish-mash mess, and the troubles continue...
Two main points with Steam, and basically, any version of the games:
1. Either install Steam AND the game outside of "C:\Program Files (x86)..." in a folder you create, such as "C:\Games..." (never install directly to the "root" C: drive), or if you have a valid 2nd hard drive, install the game in a Steam Library folder on the 2nd drive. Refer to
Moving a Steam Installation and Games for some info there.
2. The Silent Hunter games (3, 4, & 5) all run off of the Save folder ("C:\Users \UserName \Documents \SH#", whether 3, 4 or 5). As such, when you add or remove a mod, that Save data is not changed "automatically". As such after any such changes, the Save folder is in a "mixed state". After any major changes to the mod set-up (sometimes even seemingly minor ones), the Save folder should be emptied by deleting it from the Documents folder. That will wipe all configuration changes, including gameplay and video settings, back to "default". The Save data is then reconstructed with 'new' info from the game folder the next you run the game. That will eliminate what you saw with Stock SH4 after removing the mods...