Nothing lets you play a game while its files are downloading, that would be somewhat illogical. Exception being if the game was designed for you to start playing while it installed the rest of the game, but that never caught on.
And yeah VALVe could improve the download system a bit, but people making Steam games which they know people will mod (like Civilization) should really put in a mod-folder system thing like Morrowind/Oblivion/Fallout 3/NV have or Mount&Blade does.