Sadly some ROMs are only distributed through Steam, and others, at least until the next month, in reference to the ones Sega is delisting, can only be reasonably obtained there.

But indeed, Steam is not trustworthy, in this proposed case due to a publisher being able to simply disable a game's depots instead of mass revoking licenses. And while I understand the points on getting physical medias, to my understanding, digital medias could work as an ownership system, but it would require a given platform to both distribute stuff DRM-free, and to understand that the copies an user gets are his/her to keep. (but on a side note, back up everything you can, including receipts, ASAP, just in case either the dev/publisher or the store pull a fast one).