I agree with you that there's a problem, but I think you're targeting the wrong villian here. I shop local whenever I can but there are a few things that are just... big. Video games are worldwide and getting them off the internet is nice. There's no such thing as a local video game distributor. There's local indie game development which I do support, but Steam is a product I like which does its job very well.

The problem here is scale, not necessarily who individuals are buying from. Take major league sports as an example. Salaries for indivudual players are in the millions because of the amount of eyeballs attached to wallets that are interested in watching those players. Less eyeballs, less money, and the players would probably be doing the same thing but not be making as much money. Same thing with music. It's very hard for an artist to make a good living with music, but once they hit global awareness suddenly money will come rollin in from all over the place. This isn't a problem with the people doing the jobs (although it could be said that major league sports should charge less, they are trying to maximize their profit) but is the result of the amount of people who are willing to pay.

The probelm you're having is that a company is allowed to suck up so much money and keep it. That's a problem for governments to handle. Individuals can choose who to give their money to, but sometimes there aren't any other good choices.