The argument I've heard for why steam requires a custom 2fa is to do with trading on the marketplace [1]

The custom component makes sure that marketplace activity is valid (somewhat like the custom banking dongles you get that require both your pin and some transaction identifier).

They'd be better off allowing the option of standard TOTP auth for login, so users can use a standard authenticator app, and then layer on a custom app for trading if needed.

1: http://steamcommunity.com/discussions/forum/0/49463187366895...