Because it's far healthier for the industry when artists & publishers get the money from their work & can reinvest it in more software & staff rather than a single company taking a third of the PC gaming industries revenue and blowing all the cash on repeated failed hardware vanity projects, one of which was in an attempt to gain a complete monopoly away from Microsoft. You could realistically argue that a smaller developer has no choice but to avoid selling on Steam now in order to have a commercially viable game if they want to work on it properly post-launch, the cut Steam take could pay for countless salaries, most small studios don't last very long in this cut throat industry and Steam's a big contributor to that in a fair few ways.
Avoiding Epic because it doesn't have enough features yet is fair enough, avoiding it because you think having a healthy industry with cash flowing to the right places is anti-consumer is crazy. (It's not, the benefits to developers don't take long to trickle down to consumers, and the harm to developers also trickles down to consumers in many ways, not least in countless studio closures & a reliance on microtransactions for financial viability)