Using Steam is not more insecure than using a normal browser (like you e.g. need for GOG). I would say that using a browser is even a higher risk than using Steam...
Browsers don't run as a Windows service so don't have privileged access to your system, whereas the Steam Client Service does. It's ability to update software on your system means it can be used maliciously (if Steam's servers were compromised) to download malware, like keyloggers to find your bank details or
ransomware to destroy your data.
And the more accounts Valve gets, the more attractive a target Steam becomes to organised malware writers.
