Malware can hide, but something has to initiate it and that activity should draw some attention. Most malware is going to be trying to connect to the internet, either to pass on data or download more malware, again this draws attention to it. Both of which may be detected.
I would suggest that you visit the Steelseries forum and see if there is anything there or ask.
Many peripherals have USB ports, my Monitor has Two, but I'm not concerned that it is a likely target for malware/exploit.
The problem with this is, that noticing such activity as malicious would require lots of knowledge. And I am not at all knowledgeable about these things, so how am I supposed to notice malware?
It is your AV that would be attracted to the activity.
I really do think that this topic has run its course as the likelihood of this happening is as has been said very remote. You probably have more chance of a hit on the lottery.
As I continue to say - I would suggest that you visit the Steelseries site/forum and see if there is anything there about this or ask. - they after all are the experts on the capability/vulnerability of their products.