[NoboruWataya]

One admittedly rather niche example of buying games through Steam only to play them* outside of Steam is where you download data to use it in some open-source remake that relies on the original assets. OpenMW/Morrowind is the main one that comes to mind for me - I have sunk dozens if not hundreds of hours into OpenMW but needed to download the Morrowind assets from Steam to do so (after I lost my original game CD). There are a few other examples of such games out there, like CorsixTH/Theme Hospital (actually not available on Steam I believe, but available from GOG so same principle).