Some people just like using a particular location for all of their gaming needs regardless of price or effort.
The best way to combat piracy is to provide a better service than the pirates. Steam has done just that. Through sales they provide very affordable games and through their clean and mostly-efficient application they make it incredibly easy for users to track their games, install them, patch them, communicate with others who play the game, find technical help, etc. I'm one of many who have become heavy adopters of Steam, to the point where I prefer to keep my gaming library within Steam for the most part. Being on this service is beneficial to a developers for this reason as well as the others listed, especially exposure and promotion.