- Launching Steam games outside of Steam can be very difficult. Some games outright won’t allow it.
- Steam provides native libraries such as the overlay, networking and matchmaking tools, achievements… You need to have Windows versions of these which wouldn’t be distributed by default in the Linux version of Steam.
- In the past Steam just didn’t run under Linux, so you had no other option.
Most particularly they generally pretend that nothing on the web is encrypted whereas in practice HTTPS is nearly universal at this point.