They actually don't (was it in the last episode? But that's off the table, at any rate, they use their own money now), and that aside, you do not gain more revenue by restricting yourself to one site/client (Steam), but by offering it in multiple ways.
Um, they did, and they funneled money from the sales of Brutal Legend into the development for Broken Age. Presumably that and the other funding they secured is for Act 1. Any money gained from sales of Act 1 (which I assume will be releasing near the end of the month) which what today's release will NOT be as it's just the beta will go towards development of Act 2. When all is said and done, a DRM free version of the game will be available. The beta was always promised to be on Steam. There may yet be a DRM-free version released at the end of the month, there may not be, and we have no idea if it will be released on other storefronts either. Nobody but DF knows the answer to that question and are currently choosing not to address it... which really doesn't bother me. What is for sure is a DRM-free version of the game will be coming out. They don't want a DRM free version of the beta out because they wouldn't want an incomplete version of the game circulating around the internet giving everyone impressions of something that isn't the final product.As to the topic of Steam itself: Yes, Steam is DRM, and DRM has been a hotly contested topic in gaming for a long time, what with SecuROM having existed on PC and stuff like Ubisoft's always-online DRM that was retired because they found it didn't work, or the latest SimCity being online only, or last year's Xbox One controversy. The problem with those is they provided no tangible benefit to the consumer while Steam does, even if it is DRM. The positives far outweigh the negatives for Steam. Free cloud saves for supported games, big picture mode, a massive library with extremely frequent sales (4 big sales a year plus daily, weekly, and weekend deals) among other things. There are other digital storefronts, some DRM-free, some not, but none provide the sheer convenience of Steam with its constant sales and wealth of features over the years. Sure, when Steam started out, it was absolutely awful, but they learned from that experience and have matured into a fairly healthy platform that is one of the biggest contributors to PC gaming today, for better or for worse, whichever way you see it. Things like Greenmangaming, GoodOldGames, and even Gamefly's digital store are fairly good too, but don't measure up to Steam. However, GoG offers the benefit of DRM-free (but doesn't get major releases of newer games) and GmG and Gamefly often offer constant coupon codes for 15-20% off new releases. Meanwhile you have things like Origin which don't offer nearly as big a library as Steam and has less features, not to mention EA and DICE royally screwing up the release of Battlefield 4 and before that EA and Maxis royally screwing up the release of SimCity on top of the game being a step back entirely from the others.
Sure, Steam may somewhat have a monopoly on the PC download front, but its largely because it does provide some benefit to the consumers. Whether or not you think it provides that kind of benefit to yourself is another thing, but there are far worse options that could control the PC market than Steam.