Physical media has the inherent benefit of being difficult to remove from the customer. Because of the several thousand years of precedent and "argument" has lead to the current protections many countries have.
Digital distribution of Digital goods has significant benefits to the customer and producer over physical distribution. A lot of physical game media at this point is basically a license key and a mostly working game that needs downloaded patches they were still developing while the discs were being printed. The downsides are the current legal mechanisms and that a lot of people involved in the producing would like to continue to eat and pay rent.
Don't act like this guy.
That's the thing. Steam caught on in part because compared to physical retail "only" 30% was a massive improvement for the average game company. I've heard 60-70+% going to buying/printing floppies/CDs, packaging, distribution, etc. at the high end. I'm sure the big companies got bulk discounts or multi-year deals for supplies.
Yes that meant that since those aspects were a significant amount of the cost anyway you could do stuff like the StarCraft Battlechest that was crammed with extras. But it also did a lot of gatekeeping in it's own right.
Now you could probably do some kind of limited run thing that would be a lot more viable, but it's definitely a luxury step up.