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[The Fifth Horseman]

Let's analyze the facts, shall we?
Fact: 3D Realms offers Commander Keen 1 and Commander Keen 4 as free downloads.

Fact: Both of these constitute complete games in and of themselves, rather than demo versions. They were intended to hook the player into buying the following episodes, obviously, which doesn't mean the player had to.

Fact: It was OK to copy the shareware games for others to play.

Fact: Free status trumps sold or protected status.
If the game publisher (or whoever current copyright owner is) releases it as freeware or public domain, it's one hundred percent legal. Same would technically apply to self-contained shareware episodes.

It is clear that both titles are sold as part of the collection on Steam. It is at the same time clear that both titles are still being offered free of charge by one of the copyright owners.
If 3D Realms removes the downloads of these episodes from its site, then those would be unsafe (as that would indicate they indeed do not want the games distributed). As long as they do not, both games are technically safe even though still sold.