They dont really have to go out of business to screw you over
Microsoft never went under yet they closed, what, 3 digital stores already ? screwing over everyone ?
Even too much success might put your steam games in danger, say for example someone like MS, EA, Ubisoft or Activision-Blizzard give up in their attempts of pushing their own digital stores and just buy Valve then merge it with their system closing steam and making steam2 or something
or maybe Valve decides to upgrade their servers and take down the oldest games for whatever reason (this happened to a lot of digital stores)
or the owner of a game license enters a legal battle with someone else and is forced to take down their catalog from steam, or just takes it down to sell them in their own digital store abortion exclusively
hell, what if say you bought something like GTA/BloodyMurder885/Rapelay in steam and then it gets banned in your country and Valve is forced to take it down without giving you any choice on the matter even you don't happen to live in that country but the servers are based there or the other way around (if it sounds far fetched, ask Australians about their game banning streaks)
what if one day someone like that fruity Apple dude or that creepy Activision dude becomes CEO of Valve and decides to start charging a fee to "keep your account working/services" meaning that theyll start holding your games for ransom ?
there is just so much that could happen because a physical copy of the game is not in your hands, you can dismiss the risk as low and i would understand that but never think its not there, not even for a second