Amazon got slapped with a substantial fine (in the EU) for having basically the same "rule" in their contracts, that forbid cheaper listings elsewhere. So yes, in the EU hanging that rule is illegal. But if it applies to digital licensing is another matter.
You do know you're only renting access to the game with a one-time fee, not buying it, right?
Edit: the original comment left it unclear if the price rule only applies to copies sold that include a steam key, or if copies that work completely without steam can be arbitrarily priced. If the latter is the case, it's obviously fine. If it includes any game version, it isn't OK.