There's plenty of evidence if you want to go look for it, I couldn't even list all the articles/posts that have covered this. It's really common knowledge that Steam fucking sucks at refunds - I have a lot of other problems with the service that have popped up lately (paid mods are just the latest in a string over the past year or so), but for a long time terrible refunds/customer service were their one main drawback. Steam usually only offers refunds as an exception, not as a rule - often only if they make a blanket announcement of them to cover their asses (there was a big GTA V bug that made the Steam version unplayable on launch day unlike the regular Steam-less version and they offered refunds for that).
It's very simple - Steam has a huge market share, so they can afford to dick around their customers. And they do, when it comes to post-purchase support. It's been mentioned many times that at Valve workers are free to work on whatever project they desire; as you might imagine, that means there are very few people working as support staff.
vg247: Being challenged in EU court
Ars Technica: Apparently they are even still trying to get around EU legislation on the matter.
Cinema Blend: Slightly different but just a side example: no refunds for cancelled Early Access games
Kotaku: Article on other services' refund policies and how Steam has yet to follow example
PCGamer: More on GOG's recent changes to their policies, again denigrating Steam's draconian policies
Polygon: More on Australian consumer commission going after Steam.
Giant Bomb: An older story about From Dust
The From Dust incident was a real shit-show: the game released and was unplayable for a large number of consumers for over a week, and Steam refused to offer refunds at all until Ubisoft forced them to because of the enormous consumer backlash.
There are a lot of older articles/stories out there and you can find plenty of people on reddit/other forums talking about the topic, but I tried to just link newer stuff.