This is not a thing I've ever heard in my lifetime online.
That said; it is wiser to go invisible. I wouldn't call it inconsiderate unless/until you've discussed that with your friend.
I guess it just depends on the relation between friends as to whether you should care or not if you're seen playing a Hentai Game.
For some people; especially people who might be public figures; yes, that would be massively questionable. For other people who only ever steam friend their buddies who also share similar game interests and tastes...it might not be such a huge deal.
That said it probably is a conversation one might have with that friend; especially if it bothers you.
However, I do think there are certain times I believe that Steam should just, by default, not share when you are playing certain titles with friends.
Your friends can still see you bought it/own it in the first place, unless you have that set to private, in which case you can't look up your own CSGO/CS2 stats etc. The privacy settings are unfortunately not very flexible.
I mean. Steam accounts are basically free. Just have a hentai alt account. Problem solved. Not that I would do that as I am a man of culture and refinement.
It also makes life easier for everyone if you ever decide to share the account. Or if you intend to leave the acc to someone in case you kick the bucket.
Always surprised when people leave steam running in the background to begin with, and then that people want to know when someone is playing something. I turn all that shit off. I don't care or want to see pop ups of all my friends playing a game. Any game. Pop up notifications are not needed.