Proton, the Steam machine, the Steam deck, etc. were probably never about making money. It's Valve's "Plan B".

They started with Proton after Microsoft suddenly made a move with the Windows store and also started bolting down Windows a bit. As with most things Microsoft that initiative quietly died over time. But at that time Valve probably couldn't afford to take any chances. It probably also made them realize they had build a castle on someone elses land.

If you are making money in the amounts Valve is, then even the simplest risk analyses is going to show that "Microsoft rug pulling you" is one of your few existential threats. Even though the probability is low or medium-ish at best, the impact is massive. Even anti-trust isn't going to save you. By the time Microsoft gets convicted, you are already dead. Just look at Netscape.