I don't see a reason not to be loyal to Steam. I probably spend just as much if not more than console gamers but in return I get so much more value.
I try to buy from itch.io whenever its an option.
Indies actually lose more of their margin than EA does, because Steam reduces their 30% cut to 25% after $10m in sales and 20% after $50m in sales. Few indies are doing those numbers, so it's functionally a discount for AAA publishers to discourage them from leaving for their own launchers again (EA did leave back when it was a flat 30% rate for everyone).