Note that steroid use helps with inflammation but does not help with the viral load. IMO that is why the studies have proven to help severe patients suffering from a cytokine storm but does little for less severe cases.

Dexamethasone side effects (oral)

Signs of infection
Bone/joint pain
Increased thirst/urination
Fast/slow/irregular heartbeat
Eye pain/pressure
Vision problems
Heartburn
Black stools
Vomit that looks like coffee grounds
Puffy face
Swelling of the ankles/feet
Stomach/abdominal pain
Pain/redness/swelling of arms/legs
Tiredness
Mental/mood changes
Unusual hair/skin growth
Muscle pain/cramps
Weakness
Easy bruising/bleeding
Slow wound healing
Thinning skin
Seizures

A serious allergic reaction to this drug is rare. However, seek immediate medical attention if you notice any symptoms of a serious allergic reaction, including:

Rash
Itching/swelling
Severe dizziness
Trouble breathing
Other things to note:
Stomach upset, headache, dizziness, menstrual changes, trouble sleeping, increased appetite, or weight gain may occur.