Rednog said:
1) For a company that is so big...
I hope you're just talking in terms of Steam turning a huge profit, because in terms of employees, Valve is a rather small company. this interview [http://www.computerandvideogames.com/226723/interviews/valves-chet-faliszek-part-2/?page=3] from 2009 indicates that, at the time, 250 people worked for Valve. In the United States, a "small business" is partly defined by having fewer than 500 employees.
Compare that to what you'd normally think of as a big company, for sake of extremes let's go with EA. I couldn't find any exact figures of how many people work for EA, but this article [http://news.cnet.com/8301-10797_3-10155854-235.html], also from 2009, suggests that, at the time, 1,100 was 11% of their workforce, meaning there were a good 10,000 people working for them.
It can be easy to overlook this fact given how popular and successful Steam is, but Valve is nowhere near being a big company.
Rednog said:
2) They sell products that don't work and they don't accept returns. This is a problem especially with older games, steam throws them up for sale in a bundle and whatnot, lo and behold they don't work with anything besides windows XP.
In what area do you live where a retail store will allow you to return a PC game? Where I live, no brick-and-mortar retail store will allow you to return PC games for various reasons. (they can't check if you used the CD key, fear that you just downloaded everything you need for he game and want to screw them out of a sale, etc.) As such, you're just as out of luck if you want to return a PC game that doesn't work to a physical store as you are with Steam.
Protip: if the OS you're using isn't listed in the game's system requirements (be that Vista, 7, whatever), be prepared for the possibility that it won't work. Also, if you're using 7, be aware of the compatibility mode feature that can sometimes allow you to play older games that don't work right away.