It's great that you had a good experience with your particular customer service agent. But what if you request a refund from someone who is feeling unwell that day, had a death in the family or is just feeling like being an asshole. Then you're account could be blocked with limited recourse.
In this day and age there really is limited point to DRM. Everything becomes available on Torrent sites anyway and all it ends up doing is treating legitimate, paying users as second class citizens.
Edit: This also means, to the original comment, that Steam does not necessarily make it especially easy to evade SecuROM Hell or other DRM methods, as games on Steam can still have their own protection schemes. It only makes it easier insofar as those are normally marked and games have with Steam only another, better option. Maybe that was meant.
I'm a little surprised that they haven't been dinged by the card companies yet if reports of whole accounts being blocked based on one chargeback are true. Even Valve are just another retailer to the likes of Visa and Mastercard, and the card services tend to take a very hostile view of merchants who try to evade their obligations under the card service policies if something comes to their attention.
I'm also surprised there haven't been more legal cases considering the implications of SaaS, on-line media library services, software that requires phone-home activation/DRM, and the like. There are obvious ways that such systems/services could provide unfair leverage against consumers in the event of any dispute, and as you mentioned it seems very likely that they would fall foul of the law here in Europe, or at least in several national jurisdictions within Europe. The US tends to give businesses a lot more slack to play with on such matters, though.