I am running Zorin in a dual boot mode. First of all I want to say great job in providing your own dual boot screen putting Zorin first instead of Windows.
Now I have several games install on my D: drive which is 2 TB of data. As I've done in the past with Linux Mint, I went into Steam Settings Storage and after mounting that drive I clicked the plus sign. It showed the disk, it showed the folders (so it was able to read that volume), I chose the SteamApplications folder and finished the connection.
Inspite of all that, after clicking Okay, the new drive never showed up in Steam. I had no problem with this in Linux Mint only now in Zorin.
To flesh out Storm's advice a bit more, the Flatpak version of Steam is restricted, as are all flatpaks, and you'll need to use Flatseal to give it access to anything not under your /home directory. To do that, install Flatseal, choose Steam, and go to Other Files, then enter the location you want to give Steam access to. This screenshot shows my other files entry for Heroic:
If you use the .deb straight from Steampowered.com, none of this will apply, since .debs aren't restricted this way. If you're not using the flatpak, what does your Steam storage settings drop down look like right now? I'm using a separate library too, so I know it's doable.
When I looked at @Storm's post, my first thought was "Concise and to the point...."
We get in the habit... Or at least I do... of typing "lol" as a reaction even though our face is straight as we sit in a chair.
In this case, my "lol" is genuine. I was struggling to contain it so hard, I snorted and startled the cat.
Ontop of using flatseal or the .deb package make sure your steam drive mounts before you launch steam sometimes* windows doesn't cleanly dismount it and it won't auto mount for me and hten steam dropes the missing drive and you have to remapp it in steam.