Comparing Steam to CD distribution is not fair, compare it to GoG. They also have a client, but you can always download DRM-free installation executable and just use it without hassle. You are even allowed to install games that are not Officially Supported™ on your system.

I always first check GoG and itch.io for any game I'm interested in. Maybe it's my taste in indie games, but quite a few authors actually want to have DRM-free release, while Steam will probably never support it.