Valve have earned their place in the market by being forward thinking while offering added value to your experience. There is a significant amount of logical justification for them to take their cut, which most people will point out is siginficantly less than publishing via bricks and mortar would take from you. Unless you can argue valve employees should work for free, I doubt many people are going to lose sleep over the fact they're making money from giving us what few else would.
Still, feel free to buy games direct from the companies that offer that. It's likely the ones that don't are happy with the agreement that valve have with them.