The majority of games on that list are indie titles, not AAA games, probably because those titles were written specifically with Steam in mind. Still, there are quite a few AAA games there as well.
It turns out that the Steam Cloud saves do download automatically. However, you have to click "Single Player" and then "Back" to get the option to continue, as discovered in this thread.
Best Answer
I found the option - it is "Enable Cloud Saves" in the Gameplay menu.