But looking at it from Steam's side: why should they list a game, promote it through their recommendation algorithms, forums, friend lists, reviews, workshop, etc. when the developers can use it just as free advertisement and sell it in their store for half the price? What is in it for me? Servers and traffic are not free after all, quite the opposite thanks to today's AI craziness.
But is there an alternative where I can take my games where I want? Sure, there is GOG, but if they decided to shut down their servers right now I'd be screwed the same. I don't have storage space to regularly back up installers just for sure... So technically it's possible but in reality it mostly isn't.
You might laugh, but milk used to really sell in actual bags where I live...
https://i.pinimg.com/originals/59/7c/8b/597c8bfd470dfb92c573fcc44e78f911.jpg