Comparing Steam to CD distribution is not fair, compare it to GoG. They also have a client, but you can always download DRM-free installation executable and just use it without hassle. You are even allowed to install games that are not Officially Supported™ on your system.
I always first check GoG and itch.io for any game I'm interested in. Maybe it's my taste in indie games, but quite a few authors actually want to have DRM-free release, while Steam will probably never support it.
If you consider being required to login into Steam once to download the game and run it the first time in Steam to be DRM, then yes I suppose Steam will always have DRM. That's not much in the way of DRM though.
I always first check GoG and itch.io for any game I'm interested in. Maybe it's my taste in indie games, but quite a few authors actually want to have DRM-free release, while Steam will probably never support it.