How does having prime lock you into Amazon, at all? You're not disallowed to shop elsewhere after signing up for Prime. You don't even have to sign up for someone else's "free shipping membership program" to buy your Nest.
You're argument doesn't work for me.
To be clear, I think Apple is shortsighted in this decision and the Steam Link app isn't actually very competitive with native games. But I'm not its target audience either, even though I have a decent library of Steam games (50+).
My guess is that this move is not really about Steam Link but about the next company to come along with something like "play Android games on your iPhone" functionality.
* Pay more for delivery because not using Amazon Prime
* Pay more to buy an Android phone
When making this argument it's obvious that buying a new phone is much more expensive than Amazon Prime but this raises an interesting question; what is the financial threshold at which point one has to be considered a monopoly?
Just like you can buy a cheap secondary phone for Steam Link, you can join another company's "free shipping membership program" to buy your Nest (or just pay shipping or get it locally, like you said).
Regardless, I think the distinction is less clear than you make out.