At least if it's a private company you have the option of just going to a different company instead (and hoping the shitty pro-censorship company goes bankrupt). Government censorship though.... just remember that the nazis and north korea were/are big fans of government censorship and that's about all that needs to be said!
There is truth in what you say, but (a very big BUT) there is a reason why people are asking companies like Sony to apply such rules: it is so much easier.
Look, Sony can just implement internal rules, don't tell anyone (as they did until someone asked) and don't release a firm list of criterias. Fuck, there even is no need for a list criterias, Sony can just decide on a whim which game passes and which not, for which game they ask the dev for changes. A law must have clear rules and it must be released to the public so everyone can see these rules.
Sony also don't need to be transparent about the enforcement. So, we only know if this happened, if a dev leaks it or something goes wrong. For the most part we will not know that Sony asked for changes. In difference with a law, you know where it applies. For instance, in germany a public body 'indexes' some media for unfit for public distribution or even completely forbidden to distribute. The rules on these cases are set clear, but more importantly we know how many works are hit by that, for the most part we also know the list and for every media the organization can be asked if that media is on the index. We never will know such a thing for Sony.
To put such restrictions into law a public discussion has to take place and enough legislators have to agree. Even if they do, after the election new lawmakers can change it or take it back entirely. For Sony some manager can just decide on a whim to implement such rules (as it happened). No public discussion, no election.
That is why more and more people are asking or pressuring companies with big marketplaces into such rules. Because they know this doesn't stand a chance to become actual law.