Indeed but ultimately STEAM/Valve would have to find a way to release the purchased games to work without phoning home if the company was to go under. Otherwise they would be up to there necks in law suits and criminal charges. You pay for something you are allowed to use it as long as you want to. The same goes here for the now defunct versions of trainz. They cannot access the DLS much if at all but can still be used to there fullest.
Unfortunately, that's not true, as much as I wish it were. Although the courts have not been fully or solidly in favor of click-wrap agreements, the fact is, virtually all EULAs have a severability or termination clause which allows the software vendor or service an "out." It is these termination clauses that allow a company to end support for a product without having a clearly stated support statement beforehand, as what happened right here with TRS2004/06.
One may be able to convince a court of the unconscionability of EULAs, but I'm not even aware of any lawsuit filed over the loss of use of DRM-protected products, let alone a judgment in a consumer's favor. But, under current law as it stands now, Steam can turn off their DRM servers tomorrow, rendering every Steam product useless, and there isn't a thing users can do, because they agreed to the Terms-of-Service when they registered at Steam AND when they installed Steam-released software.