They don’t. The thing most people who have never published a game on steam don’t know is that valve gives you infinite steam keys (for free) that you can give or sell as you wish. This is to allow studios/publishers to give keys to whoever they want, and also allows them to sell those keys on their own or third-party websites. This is a HUGE deal, Valve is letting studios/publishers sell games on a separate site without charging anything while hosting the game themselves. The only condition to those keys is that they can’t be sold cheaper than on Steam.
That’s a completely different thing from what you’re claiming. This means that games can be cheaper on GoG, Epic, etc as long as they don’t give you a steam key together (which they could, for free).