A Steam Game Trying To Update WITHOUT using Steam.

I own Trackmania Nations Forever through Steam. Upon launching it, it wanted to download and install an update, using a separate file called "TmUnitedForever_Update_2010-03-15_Setup.exe" I would have to download. I actually started to do this before it struck me:

This seems dodgy to me. Why isn't the update going through Steam, so Valve can (presumably) do at least a cursory check of it? And isn't *automatic* updating through Steam part of the point of having Steam?

Don't get me wrong, I know MMORPGs sort of do this all the time, even on Steam. But I've only ever seen it done using an update mechanism built into the game itself (which Steam can presumably check) getting the update a piece at a time - not through a separate *executable* gotten *outside* of Steam which can do anything to your computer.

What should i do?
I am kinda unsure so that is why i am asking.