Just hit this problem myself on a rebuild with a fresh Windows 11 install. Here is a Reddit thread discussing it as well that contains some links for the DirectX downloads. Glad I found this thread because it set me down the right path to finally solving the problem.
Reddit Thread:
I just started having this issue as well. Curious if anyone else is seeing this problem. Even if I alt+tab to the steam window it just stays on Big Box, but I can hear the controls affecting the Steam game instead of BigBox.