What about billing support? You need people on the phone to handle complaints and issues from customers, deal with chargebacks, refunds and thousands of various weird requests from people that will keep coming. Also you need a software engineer team to work on the payment processing system / website. It's not "build it once and leave on autopilot". These things need continuous maintenance, bug fixes and improvements. All of that costs a lot of money and you have to have a really large revenue to be able to handle this yourself.
Paypal only handles payment. You still gotta do customer support, CDN infra (with games running at over 60GB each, that's not easy!), fraud detection, client dev and technical support for over three platforms (Win with 3 major versions, OS X with probably the same, and a myriad of Linux distros/kernel versions/GPU drivers), social networking/messaging stuff and a whole lot of small-ish stuff to get at half the functionality Steam offers.
What handling refunds? Some are legit, some will be fraudulent. What a out dealing with foreign currency? What if your game becomes popular in a country where PayPal isn't prevalent?