You can't build a machine which is as powerful, small, quiet, and cheap, nor can you take for granted that a machine you build can have a controller that can wake it from sleep, or which has HDMI-CEC (both are possible, but take extra work or hardware). You can rather easily build a machine with multiple of those attributes, but you'll have to pick ones to sacrifice in the name of the others.
The only thing you might lose by building your own and running SteamOS is HDMI-CEC.
The steam controller would work just fine.
Valve supports SteamOS on other hardware.
I like the SteamDeck I have, but it doesn't do HDMI-CEC or controller wake from sleep today. Valve needs to prove the Steam Machine doesn't fail here.