Steam has a large userbase, which offers a lot of consumer inertia to prefer games on Steam. They also have a policy where game pricing on other platforms cannot undercut Steam.
The main complaint is that this pricing policy coupled with the consumer inertia makes it difficult for other gaming marketplaces to enter the market. You cannot undercut steam unless a publisher wants to not put their game on Steam at all (which would be suicide for anything but the largest titles), so you have to sell at Steam’s price point. Few platforms could match Steams’ established workshop, multiplayer, streaming, and social services; all of which benefit from costs at scale and the established user content.
Imagine trying to convince a user: “Buy your game here instead. It will cost the same as on Steam. No, you won’t have access to the existing Workshop. No, you won’t have in-platform multiplayer with your Steam friends.” Even if you had feature parity, people would prefer Steam since that’s where their existing games and friends are.