Some people like the convenience of a single application that saves your settings and backs your saves up to the cloud instead of many different ones you have to micromanage, especially across different machines
I'm sure You can opt into most of that by linking Dolphin as a non-steam game. No cloud saves but you get to launch it through a launcher as people seem to like nowadays.
Alternatively you can set that save backup up yourself with use of your favorite cloud application and symlinks.
Well, that's kinda my unstated serious point in that joking comment: Steam, in a sense, is a package manager but a much better one in many ways so asking to abandon Steam for the system-provided package manager (which may not even exist if we're talking about pre-Store Windows) is quite flippant.
No, but you can download apps via a package manager for all of that. Or use steam anyway?
I'm very confused why people these days are so happy letting one big company manage their entire library and history. Did we not learn from the 2010's?
Alternatively you can set that save backup up yourself with use of your favorite cloud application and symlinks.