According to the developer:

You may notice that Steam marks the game as ‘Unsupported’ for Steam Deck. This is due to the Legends co-op multiplayer mode requiring Windows to access PlayStation Network integrated features.

They’re rolling out a new in-game PlayStation overlay that requires PSN and windows to work, and multiplayer features won’t be available without the two. It’s possible that Valve will be able to fix the windows incompatibility issue, although there’s no hope for the PSN requirement part being removed.