If you do it that way you are importing a good.
The end of this would not be that Steam relenting enables folks to start using foreign currency to get cheap games on a publicly traded space.
What will happen if that goes through is a swift increase in taxation of export of digital goods. You'd have countries fighting tariff wars over video games.
The idea that you can use foreign safe spots to buy and sell goods at a cheaper cost is something that only rich people get to do. As soon as it becomes broadly available to the general populace the governments crack down on it quickly.
The big issue is that physical media degrades. A cassette tape wont sound the same as it did after just existing for 20 years. CD's and Vinyl records if kept really well can last for 100 years or so but are delicate in other ways and a bad record player can cause permanent damage.
Preserving the experiences of others, art, media is important, but at the end of the day nothing we do is permanent. I know that thanks to online archives I can go and find old music if I need to. I am glad some folks preserve hard copies but a preserved collection isn't really a functional one and a functional one isn't really going to last 50 or 60 years at the same quality as what you can get from streaming.