I don't think it's unethical. A user did, and he/she has a right to think so, since he gets a billboard with his game copy. I can understand that feeling. I personally don't appreciate when a company ask me to buy even more things when I recently just bought something.And why is that unethical? I love free game trials then I can see if I like it. If nothing I get to play a free game for a bit. They can't make you buy anything, they try to persuade you to buy more games. But what other game company doesn't? You walk into a game store and it has deals, ads and sometimes pushy staff to try and sell games. You go onto an on line dealer & the same thing (minus the staff). etc.
If you are talking about using Steam (because a company makes you) to play a game then that is different. But that is one ad per day which can be closed before it loads & hardly gets in your face. You just stay in the library part.
Lastly, if you don't want to even do that you can simply just start it through the .exe file. Sure some games need Steam to operate but you can just keep it in the background. In Paradox's case (unless you want MP) you don't ever have to see Steam after the initial installation.