Two reasons, both of which I would think are obvious. 1. Your configuration is available to you on any computer with Steam installed. You can go to a friend's house and load up your game and it's already set how you want. Or you can show him the cool thing that happens in your particular savegame, whatever. 2. Backup. You mentioned that USB keys make adequate backups, but that's not true. Why? Because USB keys don't remember to plug themselves in before your hard drive crashes or you reformat or reinstall game "x". A system that automagically performs a desired action (backing something up) is always preferred to a manual equivalent. Besides, nobody said you can't keep using your USB key and now you'll have double redundancy.