I'll cut to the chase: I get what you're saying that proprietary software by some standards is unethical, and so Valve dealing in proprietary software means they're unethical... I think surely you would acknowledge that that's an unusual view though. If what you mean is "Valve, Intuit, Atlassian, Microsoft, Apple, Team Cherry, and every single other manufacturer of proprietary software or games is unethical because of it," I think you should say so. Nothing wrong with it, you'd be in some good company with it, but that's a little different than coming at it backwards and saying Valve is abusing their users because every vendor of any type of proprietary software is abusing their users, and Steam is proprietary.
You are right that most games are proprietary, but maybe some day we will be able to change that too. Right now I see that gamers don't care about their rights, so they have no chance to change anything. It's sad.
I mean, I think the real answer is like so many things in the money. GNU/Linux can easily be developed as truly free software because the people using it are themselves highly motivated to make it and keep it functioning, but games don't really work like that (outside of some specific niches like Tagpro, or a little labor of love that someone wants to make e.g. Dwarf Fortress). If there's no DRM, some significant number of copies are gonna get copied around without the authors getting paid, and not a lot of people are going to be willing to invest as much effort as a modern game takes and then be ok with that happening. I think it's rare under this system that you're gonna see Elden Ring on GOG. That's not really anything to do on the users' side; it's how the incentives are set up for the developers.
To me the most logical thing if you wanted truly libre games beyond a little niche, would be publicly funding them (or crowdfunding them) and then releasing the results as open source once it's done and everyone got paid. Honestly, I think a lot of developers and a lot of users would be happier with that system, if there were a way to work out to do it.