For indies Steam's network lock-in effects are so strong that if you sell without their cut off Steam, instead of same price eating their cut on Steam, you likely do worse. Because selling off-Steam takes one sale out of their algorithm.

Same reason to embed your trailer on your site with YouTube, even if you could afford the bandwidth and keep users from having to watch ad-rolls--self-hosted and the YouTube algorithm will punish you.

A huge part of the high profits portions of the economy is based on this kind of winner take all capture.