I see what you are getting at and I see the others have tried to answer this. I see this as a distribution issue. Apple beat them to the punch with iTunes, a terrible and bloated program that is idiot proof. Amazon is a giant that also beat MSFT to the distribution punch. It does very well at selling not only tangible items but also software and other e-crap.
Steam is right there; a tried and true, proven, distributor of all things badass (and some not so badass games from third parties). I remember when steam first came out and I thought that it was the dumbest thing ever. who was going to DL software and not have something tangible if something bad ever happened; and who was going to be connected to it the whole time? I didn't think it was going to catch on and god I was wrong. it is a good product.
So here is MSFT with some distribution success in games through XBL. Zune music, movies, and TV is a meh. along comes GFWL and people aren't happy. And here we are with, like you said; PCs, phones, and xbox. all of them need to be integrated in the future. the current marketplace that is used is...ok. I believe that had MSFT approached steam, gave them free reign (which is something MSFT has never done), sat back and collected payment things would be a little different. Steam is a great product and if both sides could have gotten over themselves I think they could have developed an apex distribution product.
also, MSFT worrying about a monopoly is a little humorous.