Basically, Steam has a super long history of decent service. This means that they have won people's trust slowly over the years, and also that people have most of their PC games through Steam now.
This means that any potential newcomer to the PC digital distribution space has to battle two issues: PC gamers' natural distrust of anything and anyone (we're too used to dealing with shit that doesn't work), and also the sheer convenience of just having your whole library under a single point of entry.
EDIT: Oh, and also Microsoft's horrible reputation not only from GFWL as a system and also trying to implement paid Gold on PC, but also from the death of Windows Phone, OG Xbox One policies, Kinect as a whole, shady nagware/forced W10 updates and even several games through UWP itself, all that stuff doesn't help either. MS is fighting a very steep uphill battle.