What does ‘sideloading’ mean in the steamdeck context? E.g. can you run any 3rd party game out of the box or do you need to perform some jailbreak first?
You can just boot into KDE and do whatever on the Steam Deck. Projects like EmuDeck are often used to load emulators onto the Deck, which can include Dolphin. The root partition is read only by default (which is why Steam Deck users don't often brick their systems within a week opposed to many other beginning Linux users) but you can disable that st your own peril.
However, most people aren't very Linux savvy and even Linux savvy people will need to deal with the small screen. You can pick between running shell commands or running Flatpak through discover, and I honestly can't tell which one takes longer. Typing commands on the deck sucks despite Valve's best efforts but Discover + Flatpak seems awfully slow for no clear reason whenever I use it.
Installing Dolphin through the controller optimized game interface would be a lot more user friendly. It would also help with Steam's native input UI, allowing the devs to set good presets for their emulators, and it saves having tk manually add a Steam shortcut and setting up the right properties to make the emulator usable from game mode.
'Sideloading' simply means not using the official Steam client to install a piece of software. Basically you switch to desktop mode and install it like you would install any random Linux application. No jailbreaking needed and you have full root access to the underlying Linux distro out of the box. That being said, navigating and installing software in desktop mode using just the controller is a major pain, and you really need to plug in a keyboard and mouse to make it easy to do. Also having a basic working knowledge of Linux and the command line is often required.