From reviews of Windows-based gaming handhelds (ROG Ally, etc.), the cost of a Windows license is likely secondary compared to just how badly the stock Windows UI and power management (and incessant forced updates) suit the form factor, and Microsoft don’t look like they can be bothered to accomodate this comparatively small market (at least judging by their public behaviour so far).

That’s not necessarily to say that this was Valve’s original motivation. I think it’s just as likely they were setting up a fallback position for when Microsoft tried to push them out of game distribution using their Xbox platform. But right now it wouldn’t make sense for Valve to switch back even if that problem disappeared overnight.