Mesa comes as separate flatpaks which is hidden in the GUI, and is automatically install when you install a flatpak. The system can have multiple versions of the driver installed. When Steam is ready to use a newer Mesa version, it will do it automatically.
Mangohud, on the other hand, is a flatpak you need to install manually via the command line. You should follow the instruction on their Github page for that.
P.S: In case you like a GUI for things. You should install Flatseal, which provide a GUI for configuring flatpaks.
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