There's still significant pirating of games despite the existence of Steam.
It would be nice if the pricing of Steam was adapted to the economic conditions of the country - but that then has problems of rich country users would probably find proxies in poor countries.
Its just not fair for someone making/having enough cash to buy Steam games with pocket change, while another large group of people have to plan and save for months to get same access, of course they will find other methods.
It's my understanding Steam has been cracking down on this, probably exactly for the reasons you describe.
This is a thing. Steam games have different prices in different countries, and there is some amount of region locking going on. On websites selling steam keys you will often find Russian keys that can only be used through a proxy.
I think the bigger thing causing piracy is inequality in the same country. Steam sales are a good measure by giving patient people significant discounts, but apparently that's not enough to completely eradicate piracy.
(Steam itself is also DRM, but AFAIK easily broken so more perfunctory).