You license all games. You agree to that license. IF they broke the EULA then get a lawyer.
If you agreed to pay for the game, then received it, it's a shrink-wrap license, and that has been struck down every time it's gone to court in the U.S. thus far. IoW, no, you do not have to agree to that license. A few companies, like Microsoft, are smart, and have a condensed version of the license restrictions freely readable on the package, linked from most online vendor pages, and sometimes even readable in product pictures, so as to prevent that particular concern on their end. Also, if the EULA violates any law, then you effectively were never allowed to agree to those terms, as they were invalid to begin with. And yes, Steam games have such shrink-wrap licenses. I have a few of them, now, that came in a box, with a regular old invoice, and no license viewable until long after payment.
I'll pay more for a game on GoG, and avoided even having a Steam account for a very long time--until I bought a boxed Steamworks game. But, if a dev wants to use Steam, and have some DRM, I don't hate them for it. I'd prefer if they didn't, as it wastes money and time, can annoy paying customers, and does not stop, nor even remotely hinder, piracy. I will support publishers not using it. But I provided it is a good game--or I think it will be--and the publisher of said game has a good track record of support, I will also not avoid the game. I will avoid paying full price, though (ironically, GoG has enough sales that I usually pay well under full price, even for games where I would have paid full price, had it not gone on sale so soon, or on sale as a pre-order). If they have a poor track record, I consider their added DRM, and bugginess, and whatever else, symptomatic of that, and will give a Nelson ha-ha and point laugh to those that bought it.
You're not just buying a game, but a surrounding infrastructure, which may include DRM by another company getting in your way. Sometimes, it just annoys the shit out of me. But, other times, I'll skip a game just because I don't want to spend my limited leisure time fucking around with some half-assed EA or whoever else's DRM that doesn't want to work, or causes the game to load slowly. I work five days a week, and sometimes on the weekends. It's not even worth the risk of it, IMO, if I see reports of such BS.
Overall, it looks like Valve acted reasonably, and the core problem is that the original developer/publisher did not support the end users as they needed to have. Be wary of Square, be wary of EA, and be wary of Ubisoft. Watch Activison/Blizzard carefully. Research the DRM on your purchases, and the publisher's history, if any.
In the end, a solid legal framework, including consumer protections, for works which are not tied to physical copies is the only solution that's going to be worth anything,
regardless of the DRM debate. As it is, the E.U.'s allowing of reselling digital copies is the full extent of any protection you have from any action by the distributor or publisher, today. You are entirely relying on their good faith. Factor this into your choice of what you buy, where you buy it, how much you are willing to pay, etc..