This is an issue that happens on some systems when Steam is already running. The amount of people experiencing this issue is very low but if it happens on your system, it will happen every time. It's a bug, obviously, but we are unable to reproduce that problem ourselves which, in turn, prevents us from even trying to fix it.
A workaround is to ensure that Steam is not running prior to clicking PLAY.
If you can help with fixing the problem,contact us!