1. Every company has a refund policy. Most retailers will only do so for a limited time and also only give you store credit. That really is not a bad thing as you'd likely buy there again anyways. Its not steam's fault if you dislike a game (what other reason is there to really justify a digital game return?), its not like you can return a disliked and open game to gamestop, walmart, bestbuy, amazon, etc and get cash.
2. The sale mentality is a false summation on your part. Game creators would not put their games on Steam if it was not a profitable venture. So you can conclude very easily that selling a game on Steam makes them a profit. Sales happen everywhere, except Nintendo, and they actually drive sales and profit.
3. Of course Valve is not your friend. They are a company out to make a profit. No different than iTunes, Play Store, Amazon, Gamestop, etc. They offer a very value rich product that makes gaming on a PC, extremely simple. They've even attempted to further the approach by separating it from Windows (unsuccessfully), hardware (unsuccessfully) and software (successfully). Personally, I'd prefer to dump it completely but my kids like some games that are only on PC, so we keep a damn windows machine in the house. (#ChromebooksFTW) With that, we continue to buy the occasional Steam game at full price or on sale, depending on our patience and value perception for the game. Sure there will be a time when the game is no longer supported by some PC I own, but that is no different than my consoles, phones, etc.
In the end, there is nothing evil about Steam or Valve. Just your biased opinions where you put them on one party and not the others.