First, I think people should buy from GoG for exactly this reason.

But also, the difference is that Steam has as far as I can tell never yanked a game from someone's account and failed to refund them for it. Games either get delisted and you retain access to them or they're removed entirely and they refund you. The only exception is online-only games whose developer stops maintaining the server, but I think it's reasonable for steam to not claim responsibility for the developer's malfeasance.

So Steam has this model of licensing-not-ownership on paper but in practice treats purchases as much closer to ownership. Sony clearly does not.