Console manufacturers sell at a loss because they need to sell the console first before they can sell anything else. They can expect to make that money back on software the user could not have bought without the console.
Valve doesn’t need people to buy Steam Machines to get them to start using Steam. In fact, I suspect most units sold will be to users who are already invested in the ecosystem. Selling at a loss would just be a straight loss to them.











Legally speaking, you own the physical cartridge, but you only own a license to the software on the cartridge.
Practically speaking, no one will break into your house to control what you do with the cartridge.