There are several reasons for a steam-only build.
1) Maintaining multiple versions of the game for testing and distribution is a large cost in time and attention for us.
2) Steam is far more easy to work with when it comes to creating patches and updates.
3) Steam has about 95% of the market, so spending 50% of the testing time for patch deployment for 5% just doesn't make sense.
4) A large chunk of customers at GG buys steam versions of other games, so our estimates is that we won't lose all those customers.
5) Customer support costs. A large majority of our customer support comes from people not on Steam that has trouble installing things correctly.
6) Steam provides a lot of technology that makes it easier to develop games, which makes us able to focus on the quality of the game instead of making our own network api.
We aim to support Steam workshop, Achievements and other things in EU4 as well, but that was never relevant to our decision to go steam-only.