This is probably something that most people haven't thought of (maybe I'm just paranoid), but when you transfer your Spiral Knights account to steam, there is no need to input any kind of information at all. Even if you wanted to, you cannot uncheck the Login through steam option and enter your username and password manually. This brings me to believe that you log in using your actual steam username and password.
Does this not mean that SEGA has your steam account and password information?
Short answer: no. Steam has a system in place that lets it act as a log in system for other games, as well as a lot of other stuff. Spiral Knights is more integrated into Steam than most, letting you even trade items/CE/crowns completely through the Steam client without ever logging in.