> The only risk in comparison to a physical copy is that Valve fundamentally changes or goes bankrupt

Or that somebody phishes your login data or that your account is banned for some reason or that the drm servers for a game you bought are now offline (you still have the installer, but can't use it anymore)... . I also like steam, but it is still very much "all eggs in one basket" and while some of the games on there are drm-free many aren't. gog.com is better in that regard.