I want to say that I've heard thinner mashes (more to the 2qt water-to-grist ratio) run the risk of lighter body in the finished product, and picking up more tannins from dark-roast grains.
Luckily, mash temperature has a substantially greater effect on fermentability than mash thickness, so you can easily override any possible effect of a thinner mash lightening the body with a slightly higher mash temperature.
Similarly, tannin extraction is primarily influenced by water chemistry and pH. Thin mashes can be an issue because inappropriate water has a greater effect on pH the more water you use. Dark mashes should have less of a problem with this since the dark grain will tend to lower the pH and high pH is typically the cause of tannin extraction.
The question about steeping grains is a really good one - if there's no base malt there, why aren't we noticing the "thin mash tannin extraction" problem with that?
I've never noticed this relationship with a thin mash, either. For me tannin extraction tends to be more an effect of the sparge. I find that I get less tannin from a beer mashed very thin and not sparged than I do from a beer mashed thicker and sparged, with or without dark malts.