Valve seemed to not make the final marketing push on Steam Machines, that I could see. Maybe because they realized that it wasn't coming together. And/or maybe it was intended as a warning, to not be forced out when MS was grabbing the app store.

Your idea of Valve in making a console themselves is interesting. They did get some limited experience with hardware, with the controller and the thin device. I don't know what all would go into some kind of manufacturing and branding partnership.

One thing that I think didn't happen is an initial loss-leader on the console, to bring people into the lock-in ecosystem, like the console companies might do. I don't see how the third parties had that incentive. And I don't know how loss-leader works if whatever anyone builds is just a commodity PC.