So Steam and Etsy themselves trend toward some amount of centralization, but in the case of Stream for example you have Playstation, Microsoft's platform, Stadia (soon to be cancelled I'm sure), Switch, Epic game store, iOS, and others. They aren't all exactly 1-1 comparable but I think that's ok. Frankly, you can get games from a lot of sources. You might say you can't get an indy title from one of these sources that you can on Steam, but you can't buy Halo on Playstation either - that doesn't make things centralized. It's a very competitive market.
In the case of Etsy I think you're a little more right, but there's no reason that has to continue to be that way.
Steam and Etsy are actually two companies that, if I were unable to use them starting tomorrow, that would basically have zero impact on my life.
Whereas, although I do order from a variety of online retailers, going cold turkey on Amazon would be a fairly significant inconvenience for me--although some seem not to use them much.
But what about your gmail? You'll lose all access to your email
Due to network effects, there often aren't good alternatives for social media like Facebook or collaborative cloud tools like Google docs.
For games, it's not unusual for indy games to only release on Steam. Even when there is a physical release, that option is becoming increasingly difficult (e.g. many computers no longer have a built in disc drive, many stores no longer carry PC games, etc.).
This is less common than the previous two examples, but it may be difficult to find niche products outside of Etsy. For example, I haven't been able to find another place to purchase this specialized martial arts equipment: https://www.etsy.com/listing/175827423/