I use Windows 7 and I also get this message since the latest patch, without any mod. At first I did not pay much attention because Paradox always told us that their games could be played without Steam running. This is why I finally left Gamersgate for Steam, to get EUIV and CKII 2.x.
After a few sessions and some decades in-game, it became obvious that the game was, indeed, not working properly. The AI was not building troops or ships anymore, at all. It was using its original troops from before the bug and everything else seemed to be working correctly, but it was not building new ones, resulting, for instance, in France being overrun by a 6k Breton and a 10k Burgundian armies.
When I finally resolved to launch the game through Steam, the message did not appear and all countries miraculously started to build armies and navies like crazy, they probably had hoarded a lot of money during the bug. In the end, it has somewhat ruined a good game which now feels like cheated.