A Linux user friend of mine once told me that he saves his files as .doc. His argument was that if he saved as .odt, only libreoffice would be able to read it but with .doc, both platforms (LO and word) would "work fine".
[1]: Of course .psd isn't an exchangeable format. It's proprietary. But just like your friend's case, CSP can kinda read/write .psd, while Photoshop can't read .clip at all.
Generally speaking I think game dev industry relies on closed-source stuff much more than web dev. It's not that surprising tho; after all the most targeted platforms (Windows, iOS, consoles), except Android, are all closed OS.
Another one is salary (again compared to web dev). But I heard web devs had a hard time lately too.