Your Morrowind is not a Steamworks game. While it can be booted up using Steam's non-Steam game integration feature, where the overlay will open up, Steam itself only overlays. By contrast, if you bought Morrowind through Steam, it would be wrapped in. Valve's code and require the client (which is pretty standard).
Some retail games ARE Steamworks games. The only difference here is that you get a disk so you don't have to download the game. But you still have to integrate the game with Steam itself, get a Steam account. The moment the game registers to your Steam account, it's like you bought the game and downloaded it. That's the debate here. Whether or not the game will be completely tied to Steam, rather than versions that are purchased solely through Steam.
Also, I doubt Valve cares abou built-in cheats to single player games. I think you can only get your account banned if you hack the game or cheat in multiplayer.