Insofar as this may be considered a bug instead of a feature, it is a
bug in either your window manager, Wine, or Steam. There's nothing
xscreensaver can do about it.
https://www.jwz.org/xscreensaver/faq.html#popup-windows
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You received this bug notification because you are a member of Ubuntu
Public bug reported:
I'm using xscreensaver 5.36-1ubuntu1 and xserver-xorg-core
2:1.19.5-0ubuntu2 and while I had Steam (with Wine) opened and a chat
window was open but minimized to the taskbar after locking the screen
with xscreensaver I did receive a message from somebody which then
appeared