I think the difference here is that sony is in the middle of taking down their ps3 store, and while they say you'll be able to download the games for the "foreseeable future" I don't think many folks have a great deal of confidence in this being true for for that long.

Valve has spent the better part of 20 years fostering a good relations with the gaming community and pretty much every gamer has a great deal of confidence that they'll protect your purchases.