I know this announcement will make a lot of people unhappy, but ultimately I think this is best for the future of the series. I've been quietly wishing for this to happen for a few months now. My reasoning being that Shenmue 3 is going to get a lot more marketing exposure through EGS than it would have through Steam. The Shenmue 1 & 2 release got no traction on Steam, whereas EGS already has S3 at the top of their upcoming games front page. Shenmue 3 needs this type of exposure to make any sort of sales dent in November with all those heavy hitters surrounding it.
I do feel for anyone that was wanting to play this through Steam. I hope backers will still have the option to request a Steam key, similar to how Metro Exodus pre-orders were honored for Steam purchasers.