Oh boi, here I give you the solution for that. This document is based on these links:
- https://steamcommunity.com/app/221410/discussions/2/616189106498372437/?l=portuguese&ctp=8
- https://wiki.archlinux.org/title/dnsmasq#NetworkManager
- ValveSoftware/steam-for-linux#3401
My solution seems to be deprecated, there are other solution from the comment on this Gist, that actually works. So, please use that instead, it's way much simpler, and it works.