Illegal and out of their jurisdiction

Illegal means against the law.. so no.
Out of their jurisdiction, Steam is Valve's platform, so no again.

Valve is the seller in this case, who will be liable for the agreement they have with their customers. If one of their sold product is going to end up massively refunded, who do you think will be processing these? Then Valve has to turn around and get the money from Sony.. guess how Valve estimates that will go.

So step 1 for Valve is limit exposure by stopping sales where you expect issues.
Step 2 is analyzing the potential for refunds in other countries and limiting there as well if deemed to big a risk.

I can only imagine that feedback from Valve to Sony played a role in the decision to not push forward. As large corporations only speak money.. the cost benefit made at Sony must have missed some things to have it now skew the other way.

I'll believe the account requirement will be totally in the past IF the sales to the non PSN countries are reinstated. Cause why limit your customers to countries if that is not necessary.