It would greatly help if you mentioned what distro you are using. Regardless, there will be some residual files in your home directory. Check .config and .local for any entries specific to Lutris.
If those shortcuts were created when you installed windows steam via Lutris, you can just delete them from your desktop.
If the shortcut still shows up in any context menu for Ubuntu, look in /home/fergpias/.local/share/applications/ for that steam.desktop, and steam_support.desktop entry. Just be sure you don’t delete one that you created after uninstalling Lutris.
There might also be a steam directory in your home folder under games that Lutris may have created. When you install a game through Lutris, it creates its own contained directory in your home folder (default /home/Fergpais/Games). If you are no longer using lutris, you can simply delete that entire folder.