Two years later, the issue is still present. At this point I think our best option is to RMA our Corsair keyboards and say goodbye to Corsair brand forever. This issue is absolutely unacceptable, and considering how big your brand is and how popular your peripherals are, it's unbelievable this issue hasn't been fixed yet. This should be more than enough to dissuade any potential consumer from buying any Corsair product.
And not, the culprit isn't Steam, since this issue isn't related to Steam, it can happen with any game outside of Steam. It's related to the keyboard's firmware and the issue triggers when the numlock and capslock LEDs aren't responding. From that moment, any game will take ages to load, and Sekiro (for example) and other will just crash. Unplugging the keyboard fixes the issue. But well at this point I think you already know that.