There are people who are inclined to be wary about giving outsiders access to modify their hard drive. I have seen no reason at all to think Valve Corporation is inclined to abuse this privilege, but mistakes happen. Then again, it gives them the ability to arbitrarily revoke one's access to the game one bought (yes, I know the EULA gives companies the "right" to with or without Steam, but without the constant internet connection Steam gives, they lack the ability). Again, I have seen no reason at all to think that they abuse this privilege, but some people are inclined to be wary of trusting the permanent good will of a corporation- or just of trusting the good will of strangers over the internet. Also, the automatic updating (which doesn't stop when you disable "automatic updates") is just a pain.
Paradox, thoughtfully, gives us the ability to copy the game directory out of the steam folder, and run it (once installed) without an internet connection or even with Steam removed, so the disadvantages can be mitigated or removed, but I think some people turn the whole thing into a matter of principle.
I also note that, when Steam goes under (I say when, not if, since nothing actually lasts forever), EUIV will be the first Europa Universalis game of which people are completely unable to play multiplayer.