I know of only one way that this can happen in windows, and has nothing to do with Steam other than their not-so-great decision to install all content into Program Files.
If you are on Windows 7 or Windows Vista, and you have UAC set to ON, then change it later to OFF, this can happen.
UAC does thing evil thing where if a program tries to write to a "protected" area like Program Files, EVEN IF YOU ARE ADMINISTRATOR, when you get a UAC prompt and give permission, it actually writes any files that would normally go into that directory into a "virtualized" directory somewhere else.
If you turn off UAC, that will no longer happen, and as an awesome bonus, it will no longer know about the files that it virtualized.
So in your case, if you had UAC on, installed a ton of games, then later got sick of UAC and turned it off, this would happen as you described.
See the second paragraph in "Features" in the article on User Account Control.
If you have done this and turn on UAC again, your content will come back, but be a TOTAL mess because if you've downloaded more stuff with UAC off, then that will be invisible when you turn UAC on, and vice versa.
this drove me a little crazy once before I realized what was happening.
i'm curious to know if this is your issue.
Presumably your copy has some method of circumventing Steamworks that persists even when you attempt to download changed files from Steam. Backup your saves (located in "C:\Users\Your Username\Documents\My Games\Borderlands\SaveData" for Windows 7/Vista and somewhere similar for XP) and remove Borderlands entirely. Ignore step one and step three, simply let Steam install the game. This should restore full Steam compatibility.
Best Answer
In order to get achievements in Stellaris you actually need to go one step further than with other Paradox titles.
First off, you don't need to connect your Steam-Account to your Paradox-Account as there isn't a feature to sync achievements anyway.
The things needed to get Achievements:
However, there are a couple of known bugs which prevent you from getting Achievements (because Paradox mess everything up). In that case you could consider using the Steam Achievement Manager for giving yourself the achievements you deserve.
As a sidenote to the SAM, I know it is controversial, but I really don't see a problem with using it to acquire achievements you were bugged out of (in first line in games like Stellaris where such Achievements can take days or even weeks to acquire).