You will need to become a Steam developer before you are able to have your game available through Steam. You can do this through the Steam Greenlight process, or by going through a third-party publisher.
You will need to package your game separately for each platform; Windows, Mac, and Linux. Once you have your game packaged correctly, you’ll need to setup on Steam a depot for each platform, and set which depot corresponds to which platform.
To actually package your game, you can, in the UE4 Editor, go to File → Package Project → and select your options / target here.
As far as I know, the “Supported Platforms” in your project settings only warns you when you do something unavailable for one of your target platforms, and has no other impact.
I hope that helps!