Wish they'd move Gears 1 and 4 onto Steam as well, I have no issue actually playing it from the MS store but it's lacking a lot of features, Most importantly the ability to have your game in a folder/location of your choosing that remains intact through several Windows installations like Steam, Origin, GOG, Uplay etc... have had for years now.
If for any reason you have to do a clean wipe of Windows you have to redownload everything and for games as big as Gears 4, 120GB, That's a no no in my book.