When you close that menu down the game should then update and Dishonored 2 [beta patch] will appear in your library.
There’s a Dishonored 2 [official site] PC patch currently being tested on the beta branch of the game in Steam which is aiming to help with the performance issues some PC players have been reporting.
If you want to try the beta patch before it hits the main game you can right-click the game in your Steam library to find the properties menu then select “betas” and pick “BetaPatch” from the dropdown menu.