They're not really the same thing. Steam is more of a digital platform+distribution, GMG and the likes are more like 3rd party distributors. Some games actually give a Steam code on GMG. I bought Typing Of The Dead: Overkill on GMG which required redeeming on Steam. (the only reason why I bought it through them)
I like having ALL of my PC games that I'll never play in one place. Steam does that, and does it best. Also see: Humble Bundle