This isn't an issue with STEAM so much as an issue with all digitally downloaded media, and one of the reasons why my opinion of such services is negative. Without a fully functional disc in hand you have very little, after all any one of these services (D2D, Gamers Gate, STEAM) could go out of business, be shut down, or simply hacked out of existance. Then you lose pretty much all the stuff you bought from them. When the cost of DLing from one of these services is the same as buying a game physically in a store, I think it's a rip off.
Really the only ones who benefit from services like STEAM are publishers.
Now, one important caveat here: there are exceptions like when some of these services run "specials". For example downloading Overlord 2 with the previous two Overlord titles for under $10 is a fair deal under the circumstances. In general though the odds of seeing those prices ever becoming the standard seem to be unlikely. I generally tend to think that STEAM and other services should start with a 50% reduction from retail prices given both the risks and the lack of physical media.
Not to mention the gymnastics you sometimes have to go through to patch a digitally downloaded copy of a game, or even just to insert a registration code (which is kind of retarded to be honest when your downloading).
Also digital download services need to be policed a bit more I think. Some of the games carried by STEAM are apparently censored and not marked as such.