VAC ban, disabled account, hijacking, phishing, etc; The list goes on and on.
True, but the likelihood of that happening is far less than the likelihood of something happening to a Steam account. Also you could be compensated for a game collection by an insurance company if your house was destroyed - it would be unorthodox but doable.
I have to agree with Mamoulian War, I cannot recall ever doing that.
Direct2Drive? Steam doesn't sell that.
EDIT:
I also like choosing the patches I use as some of them do not play well with mods while others do. Steam forces you to update and has no "roll-back" option.