The biggest threat was Windows moving towards a closed platform with Windows 8.

Remember that with Windows 8 we were pushed the "Windows 8 Experience" first and foremost, with the Desktop being a second-class app within that environment. Microsoft also launched the Windows Store, which would act as your central hub for acquiring all software. At the time of release it was speculated that Windows 8 would be the last operating system to play nicely with the Desktop and the idea of Windows as an open platform where you could manually download and install whatever you wanted.

This was obviously a threat to Steam. In that landscape, games would all be purchased via the Windows store, effectively bypassing the need for Steam altogether.

Rather than being passive about it, Valve took an aggressive approach and started pushing heavily towards Steam on MacOS and Linux, and in the process launched SteamOS and Steam Machines.

Microsoft seceded in the end, though. Windows 8.1 allowed you to boot directly to the Desktop, and Windows 10 did a complete 180, making the Desktop the core experience and preserving the open platform, while making their new-style "Universal Windows Program" apps live within the Desktop environment alongside traditional Windows applications.