If you happen to read the fine-print of the EULA and refuse to install it because of this, your retailer will probably refuse to return it stating they don't return software due to "piracy" or some such nonsense. This is completely in violation of commercial law in most countries as it's terms and conditions presented after the sale, and destroys the Right of First Sale, in addition to other things. But Valve is a very large company with plenty of lawyers so it goes unchallenged. It's also a U.S. company so is untouchable elsewhere.
If Valve/Steam thinks you are trying to sell your account, they will permanently lock you out of games you paid for with no refund, no recourse, no appeal. One person lost $1,800 worth on his account for this. They also will do this if they think you cheated on even one of your games. They don't have to prove this; it's their word against yours and, again, Valve is a very large company with plenty of lawyers.
Retailers sell Steam-registered games, as noted above, that then install the full Steam client and encourage buying games through Steam rather than the retailers. The retailers have no recourse. A group of retailers in Britain now refuse to sell Steamworks-enabled games because of this.
That's all I have time to type right now. I'm sure there's more, but these are some of the major problems.
Steam is not the center of some software monopoly/government conspiracy. :nono: