Earlier quoted context omitted.
Microsoft certainly did remove apps from Windows even after they are purchased. They had Crackdown on WP7 as a tower defense game. They shut down the servers and the game disappeared, never to be seen again. Really pissed me off. They also refused to update their Texas Hold'em game, so when I moved to WP8, the game I had purchased disappeared.
FYI, When someone says "Windows" they generally are talking about a PC desktop. Not a phone version. I am guessing that you probably already know this, but want to push any angle for a rebuttal. I am referring to Windows 8 specifically (yes the PC version) because this is the version that Steam was vying as evil.
If you want to argue Windows desktop versus Steam, though, Microsoft does control Windows Defender anti-virus which can force-remove applications or prevent them from running. In that sense, Microsoft surely can deny you access to application you've purchased. Your comparison is still uniquely inappropriate, though.