Yes, technically they are licensed. But what software is owned and not licensed? This is not new. Unlike most collections the ROMs here are out in open and easy to access.

The reviews here are complaining about Sega delisting the collection. People that already have it will still be able to play them and redownload them off Steam. They have already delisted some of them (e.g., Sonic 3) and they're still available to those that got them before they were removed.