Steam can definitely remove your access to games in your account. Though, to be fair, it generally doesn't, as it has little incentive to do so (outside of such cases as credit card chargebacks). There are a few cases though.
(Note of course that games delisted from sale in the store are generally not removed from accounts.)
To be fair, other stores certainly could too. But something like GOG is limited in what it can do, if you've been properly backing up your files, since you can still access your own offline installers even if you completely lose access to your account.
That said, as far as dangers to your Steam account go, I'd say that individual games getting removed is probably less likely than one of the following:
- you losing access due to not being able to login for whatever reason (e.g. forgot your stuff and also lost your phone but you had Steam's 2FA going so you can't login)
- getting your account stolen by a hijacker (which there are TONS and there have been for years due to the profitability of virtual item fraud and account fraud and the synergies between these two activities). If Steam screws up their side of things, this might even happen through no fault of your own -- for example, a bunch of people got hijacked several years ago when hijackers discovered that Steam's password recovery page would accept a blank input.
- having your account banned for whatever reason. Probably less likely if you're well-behaved and don't cheat and don't talk about piracy on Steam, etc., but it's worth noting that this could happen. Also, if you dabble in cheats and your account gets VAC banned, I'd imagine that having to use a new account ends up being kinda similar to being banned from your old one, due to the hassle of having to switch accounts.
There's an old story about Gabe Newell saying that if Steam ever shuts down Valve will make sure players are able to access their games, but there's a few problems with this:
- It's not actually in the Steam Subscriber Agreement.
- This is old info anyway.
- Given how big Steam is, it's more likely to be sold off than to go dark if Valve finds itself in financial trouble. And even if GabeN has truly promised this, the new owners of Steam are not beholden to such a promise.
As for Steam emulators, like SmartSteamEmu, I'm pretty sure they're not allowed but Valve just largely turns a blind eye to them and will do so unless they become a very significant issue in some way.
For a while, Recettear and Chantelise were sold on GOG, but I don't think the Steam versions ever stopped using Steam DRM. But the GOG versions appeared a good long while after the Steam releases.
Also some older Ys games had DRM when they first appeared on Steam, but I don't remember whether the DRM was patched out by the time they were sold elsewhere (on GOG and formerly on GamersGate). I do know that pretty much all the games developed by Falcom are available DRM-free these days, and I know those that are published by XSEED are the same versions on GOG and Steam. Whether this is the case for the games published by other publishers (NISA, Aksys, and Mastiff) I'm not sure yet. A likely candidate worth checking in this regard is Gurumin. It's on GOG, and it's old, and it was published by someone other than XSEED (specifically, Mastiff); I vaguely remember Gurumin on Steam being unable to start without Steam.