when I link my steam account to xbox live it only lets by play games from microsoft store...

I downloaded the Forza 5 for the first time via Microsoft Store, i played and i deleted the game. (I played with gamepass)

I bought Forza 5 from Steam and i linked my xbox account with steam, but when i start the game and logged in with my xbox account, my all progress is gone.

To play Steam games, you must use Steam. You can't play Steam games through the Xbox app.

State of decay 2 on steam, the microsoft store shows as if I didn't bought it

State of Decay uses Microsoft's Live Gaming services for online play and achievements. But you bought the game from Steam.
Steam is PC only. Any games bought from here will only be available for you to via steam, they won't show on your console.

Play Anywhere titles are only 'Play Anywhere' if they are purchased via either the Windows Store on a PC or via the Xbox One Store on an Xbox console.

Hello, Arda. Thanks for replying.
The “Steam Edition” is the version you can purchase/play through Steam.

Yes, as I mentioned previously, Steam is a completely separate marketplace, and it's not connected at all with other stores. Therefore, the purchases you make in either store will be accessed only from that store. Having accounts linked doesn't mean you will get the game for free on the Microsoft Store.

Please note that this applies to any marketplace (PlayStation, EA Play, Steam, Epic, Ubisoft Connect, Microsoft Store, etc.).

To have the games linked to play anywhere from your PC to the Xbox, you have to buy the game through the Microsoft store, not Steam. Steam is entirely different and is not connected to your Microsoft account in any way. Unfortunately you will not be able
to access any game bought on Steam through your Xbox console.