Valve certainly isn't perfect, and I used to buy more games on GOG. But then I noticed those games, which initially had Linux support, were no longer getting updated or working properly on distros. Their Linux support just kind of fizzled out.
On the flipside, even in it's early days, Steam/Proton made Linux gaming such a far nicer experience. If Proton were proprietary, I would stay away from Steam still. But what Valve is doing for Linux and free and open-source software is a net good right now, and that is worth supporting.
There are things that suck about Steam, like the drm. Just the other day I had a game running and also tried to run a second game through GameNative only to find Steam only allows me to run one game at a time, dumb. And there will probably be a day when Valve pulls some kind of enshittified bait and switch like Google is doing with Android right now.
And when that day comes it will be necessary to fork and forget them. But until then I'll enjoy the ride.