Games

I don't know if steam does this since I have no experience selling on steam, but generally when you sell anything anywhere the sales channels will often demand that you give them the lowest retail price. Most commonly done by ones that give the most exposure since they have that much more power. Failure to do so will result in some penalty (Amazon prevents your offer from being in buy box) or just outright refusal to take your product (such as Walmart).

Additionally, customers complain too when you sell at two different pricing elsewhere. If you're a company that gives virtually no support (like you sell pickles or whatever), you prob don't care. But for things like games, you'll get bombarded with demands that they got ripped off by buying from one place and ask for difference in pricing or submit a refund request. Refunds are more expensive to sellers than not selling at all since you still have to pay transaction/refund fees by payment processors. Or if physical product, cost of shipping as well.

Different sales channels having different pricing isn't really an option. It's not really worth it. You'll get problems left and right.