For me (strictly IMO) that risk is part of the tradeoff for the reduced prices and near-perfect memory while active
Literally every single game I've ever purchased on steam is still available. That's 200 games over the better part of a decade. What are the odds that you would be able to track 200 disks (or more, for multi-disk games) for years and years, without a single one getting scratched, lost, etc? I can't speak for everyone, but for me personally, no chance. Absolutely nope.
Yes, there's a risk. One day, Steam could go the way of the dodo, I will be at risk of losing those games. But the way I see it, I'm already in the black. I've already gotten more mileage out of these games in their "risky" digital form that I could possibly have gotten from "safe" tangible media. And that's to say nothing of the prices I've paid, which are significantly lower than retail prices.
I'm also somewhat comforted to know that I'm not alone. Not by a long shot. If Steam shutters their windows, there are going to be millions of people in the same boat (over 6 million active users at the time of writing, peaked over 10mil today.) Chances are very good that work arounds will be discovered. Ways to back-up your digital games to Blue-Ray, Flash Drive, etc and side-load them onto future machines.
To sum up: Even with all the risks and DRM, it's still better than physical media from retail outlets.