Steam makes it irrelevant that a game has no Linux version, you just click on install then on play and you're playing the game. That's two clicks. How do you not see the appeal of that.
Other pros of using the Steam client: automatic game updates, automatic controller setup, dlc management, mod management, automatic proton parameter setup, I'm sure there's more advantages that I forget. Steam also makes it very easy to invite a friend to play with you, but there is no technical reason why this should be hard anyway.
Just to be clear I am not trying to convince you, I also see the value of owning the binary, without DRM, and doing what you like with it. But as a long-term Linux user who likes videogames, and who used Wine way before Proton existed, I most definitely see the value brought by Steam here. I also have Lutris, Battle.net and the EGS installed on my computer, and they all have been used to launch some games successfully at some point, but I almost never use them, and I expect that next time I start one or another, there will be some tinkering required better it actually works.