I'm not Jenny, but I am pretty sure they haven't. The concern is that the company might fold one day and leave customers holding a DRM-locked bag.
Steam insists on verifying your license to each and every game - each and every time you start it, so should you lack internet access for awhile or (especially) should Steam go out of business (and no longer have authenticating servers for the Steam client to find,) you might find it hard to play the games bought from them.
Its an additional layer of DRM, basically. The most annoying part is the necessity of being online EVERY time you want to play a game you got through their store, especially those that are single player, lengthy, take up the whole screen so its hard to get your computer offline after 'verifying' once again, and offer no additional services or gaming options that offset the annoyance of having to play it online...
Adventures are usually are offline, lengthy, single-player experiences, so Steam's requirements are especially noticed by AG folks. These are the short-term drawbacks to getting your games through Steam, but they are otherwise a reputable distributor.
People bring up the possibility that folks could one day be permanently locked out of their games to explain the long-term drawbacks of being a Steam customer (unless someone released a patch...which they probably would if they were going out of business.) Also, any games you'd bought but hadn't downloaded by then might be essentially lost as well.
I honestly think that being locked out unexpectedly because some natural disaster ruined internet access for awhile is much more likely than Steam disappearing overnight and taking everyone's keys with them, but even this possibility highlights why customers prefer GoG's policies and/or physical disks (especially ones that don't require Steam/online activation to run.)
Its the usual concern about Cloud products. Are they true purchases or effectively long-term rentals?
Personally, I prefer disks, but I've been given quite a number of Steam games, so I have tried the service, and found it fun. For ex: I played "Dear Esther" after a friendly fellow gamer gave me a Steam key for it at Christmas. Worked fine, though I had trouble getting out of the game long enough to shut off the internet after 'verifying' the game and starting it.
The biggest thing to remember is that any game you buy through Steam needs to be started while you are online - so it can be verified - every - single - time.