Purchasing from Steam has risks and benefits, just as purchasing from any other store does. You highlight one risk, and it is a real risk, but you don't really indicate why it outweighs everything else.
Let's assume that Steam games are generally 20% cheaper than boxed games from my local game store (actually, they're much cheaper than that, in this part of the world). Let's assume that one game in ten is a dud (actually, much less than that, in my experience). So we have two options:
Buy 10 games for X locally, get a refund on one game, ending with 9 good games for 0.9X.
Buy 10 games for 0.8X locally, get no refund, ending with 9 good games for 0.8X.
Obviously, option 2 is better. Same games, less money, even AFTER the refund. Plus I didn't have to go outside to be hit by a bus. :) (Plus, my local game store has a poor selection.) Your argument seems to be "hey, options 2 is so terrible I will never use Steam", but I don't see what's terrible about it; it sounds like a great deal to me. Plus, many brick and mortar stores will quibble over refunds; many will absolutely refuse to give a refund if the box has been opened. How is this better?
"Steam isn't perfect" isn't a good argument. "Steam isn't the best option" is a good argument, but you might struggle to make it. :)