About STEAM: It is a terrible business model for those who have to pay for their data, as well as their bandwidth. For M2TW I'd have to pay triple the price to download it. For Empire, just not even worth thinking about. STEAM is about control of the product, not distribution. I doubt it's even viable from an emissions standpoint.
A lot of smaller developers (and probably larger ones, as well) would disagree with you. Steam has a huge audience, and for a small studio that needs to move copies to eat, Steam offers an excellent way to reach consumers while being very reasonable in terms of the fees charged to work with them.

As for downloading the games, the only reason you have to complain is the patches really. You can still buy a physical copy of the game, connect once to verify the purchase, then run offline. You won't get patches, but if you're that concerned about bandwidth you wouldn't get patches anyway.