They do, but it obviously wont include any physical bonuses. Usually its an in game item or 3, the soundtrack, making of crap etc.
Not true. I bought a physical copy of Assasin's Creed Brotherhood for the 360 and got the soundtrack, AC:Lineage on DVD, a pretty box, a map of Rome, Alta?r's Codex in book form, extra multiplayer characters and an extra mission. Bought the same CE through steam for the PC and got everything except the DVD, the pretty box, the map and the Codex (though it did include the new DLC). Just the game content and the soundtrack. But obviously the PC CE was cheaper than the 360 CE because it had less stuff included for obvious reasons.
Like I said, no CE's from Steam (or D2D or similar). The way I look at it is if I can't fly my aircar over the taping of Antiques Road Show in 30 years and get an wildly inflated auction estimate on my TES V Box 'O Goodies, it is not a Collectors Edition.