I installed the game Via Heroic, and the shortcut that was put to Steam gave me error: "the following components are required to run this program aka microsoft visual c++"

I found a Fix (Credit to Reddit u/GetBehindMeSatan)

Add the game to Steam manually, and instead of selecting the first exe you find in the main Kao directory, select the one within the KaoDRMFree directory. The directory path for me was: /home/deck/Games/KaotheKangarooZHs8t/KaoDRMFree/Binaries/Win64/Kao-Win64-Shipping.exe

Set the game to run with Proton Experimental in Steam

If it still gives the c++ runtime error, you can try to install it manually as well:

Download the latest version from Microsoft into the directory with the exe you added to Steam (doesn't have to be there but it makes things slightly easier)

In Steam, change the Target field from the Kao-Win64-Shipping.exe to the exe you just downloaded, and run the game. It should start the C++ Redistributable installer and you can go through that as usual

Once it's done, change the exe back to the Kao one and start the game