You need to stop being such a fan boy and look more objectively at the situation.
Sony will not get sued because Sony is in the business of entertainment. Video games is just one form of that entertainment business. They also do movies, music, and television. Sony competes with industry giants such as Time Warner, Disney, MSNBC/Universal, CBS, and others in multiple areas. Why does Sony not market to children? Because it knows Disney would crush them if they tried and it would be foolish to waste money trying when they already have a solid market for the older fans.
Microsoft has been sued before and lost and won. It won when it was sued on the basis of it's OS being distributed with the PC, Microsoft proved there was nothing preventing a manufacturer of the PC from using a different OS like Apple does with it's own OS, nor did Microsoft participate in activities that would prevent an independent group from pitching their OS to a computer manufacturer. It lost when they built internet explorer to be in integral part of the operating system forcing people to use it, however since it had not reached market, nor did the integration prevent you from installing and browsing with netscape navigator, they had the opportunity to fix the issue at 'no harm, no foul' rates, meaning, they were not punished for it as they had not caused any damage.
As for their digital distribution over their consoles, your example proves why they won't get sued over it. These two companies are in direct competition with each other in the console market. Their games can be purchased in retail stores as well as digital downloads. Their content is often available on both consoles depending on the developer, and both provide exclusive content to help market their product. Neither console prevents you from playing a game you purchased if you return what they deem to be too many items. The consumer is protected from being defrauded in this manner, unlike the practice Valve actively participates in with Steam.
Since you're hung up on consoles, let's add Nintendo to the mix. Nintendo competes with both Microsoft and Sony in the console business and does quite well for itself. So there are actually three mega companies competing with each other two of which are based in Japan, negating any and all claims of a monopoly. Face it, the console market argument is a bad one for you to try and make.
Intel has been warned in Japan a couple of times about unfavorable business practices, but in this case, it's an issue of a foreign government trying to do something about it. Intel is a US based company and thus not subject to to the harsh punishments of Japanese law, much in the same way Sony and Nintendo would be protected from US law because it is a company based in Japan. International laws are much weaker then national laws because there is no agency to strictly enforce them, and a nation can decide not to apply international law and find that in it's own country there is enough competition and no evidence of unfair practices so therefor nothing happens. It's a bitch yes, but that's just how these things work.
Wal-Mart, (note that it's spelled with one l, not two) doesn't even have a large market share when compared to other businesses. Internationally, yes it has very large numbers that are overly inflated by the fact it doesn't change it's name with each new region it enters like everyone else, but if you look at it's numbers by where it operates, in the US they actually do poorly against national retail and grocery stores. Hell, in China they're actually the rich person store and everyone else has cheaper prices. To make a fair comparison to a company like Sears would be unfair to Wal-Mart. To make it fair, you'd have to compare it to all of the Sears subsidiaries which include Sears Department Stores, Sears Hardware Stores, Sears Grand, Sears Essentials, Sears Appliance and Hardware, Sears Optical, Sears Hometown Stores, Sears Outlet, Sears Parts and Repair Centers, The Great Indoors, Lands' End, Orchard Supply and Hardware, A&E Factory Service, and KMart. Do you really think Wal-Mart is bigger then Sears in the US market when you take into account all of the different companies Sears owns? There are other companies just like Sears that rebrand portions of their company that you don't consider when trying to compare numbers. Before you say Sears should get sued first then before Valve, all they have to do is point to other companies like Home Depot, Ace Hardware, JC Penny, Target, and dozens of other places that compete with them on equal settings and markets.
Fortunately for the business legal world, your opinions don't count for anything. Clearly you're not as educated on business legalities as you might think or else you wouldn't have said it would be easier to go after the other guys after stating that Valve is a private company. Valve, being that it is a privately owned company, is actually MUCH MUCH easier to go after in an antitrust and/or monopoly case. Because it's a few individuals rather then thousands of shareholders that are responsible for the direction of the company, blame can be easily assigned as there is in fact, an owner of the company who is an actual person, not some intangible entity as in a publicly traded company. That is why they had to form Valve as a Limited Liability Company so that their personal property can't be taken away from them should the company be sued. I provided you with the perfect example in Standard Oil on what will happen, yet you continue to blindly argue. Do yourself a favor and educate yourself. How much US business and consumer law do you know? The more you argue these points, the more it proves you know nothing about them.
Valve's profits are a matter of public record, private company or not. They have to pay taxes on every transaction just like every other US business, and they have to pay duty fees on every international transaction. They also have to report their earnings for each individual game they distribute to it's developer. They can of course, not give accurate amounts, but that just adds defrauding the government and tax evasion to the list of charges as well as strengthens the position they're participating in unfavorable business practices.
Valve loves the fact that Steam is the de facto choice for digital distribution. That in and of itself isn't the issue. The problem is that they defraud customers. When enough of them get pissed off, they will get sued and their marketshare will become a liability to them. THAT is when the monopoly laws will apply because the consumer will state they had no choice because there aren't other options. That is when the US government will step in and the Attorney General will file monopoly charges citing every one of their sales as undercutting the prices of their competition and unfavorable business practices by making what you consider improvements such as their bandwith increases preventing others from competing on equal ground, and defrauding their customers which brought charges against them in the first place, as well as tax evasion and defrauding the government if as you claim Valve is the only one who knows the real numbers. As in the case of Standard Oil, it may take 40 years for this to happen, but if things stay as they are, it will happen, it's only a matter of time.
It's okay to be a fan of a company, but don't discredit the counter arguments by saying well, they do it too, or someone else should get it done to them first, or the law isn't being applied as harshly as it could be when all you demonstrate is that you don't know the law. You just look like a fool doing it. The simple fact that the consumer has yet to revolt against them triggering it, doesn't mean it won't happen. I don't care about Steam one way or the other, I don't use it, I don't have an X Box or a PS3 or even a Wii. In fact, Impulse is the first and only time I've used a direct download service because I had no other option in the matter for getting Entrenchment and Diplomacy for Sins and I really didn't like having to do that. I'm not a fan of that because I prefer to actually own a physical copy and with each update I make myself a physical copy so that I won't ever have to download it again, but digital downloads are the way of the future. I understand the reason for the move, I support Valve in so much as I wish them all well and healthy profits with their business ventures, but if today's practices are the way they will always operate, then Steam being their little golden goose is going to screw them over.
