Nonfree game programs (like other nonfree programs) are unethical because they deny freedom to their users. (Game art is a different issue, because it isn't software.) If you want freedom, one requisite for it is not having or running nonfree programs on your computer. That much is clear.
However, if you're going to use these games, you're better off using them on GNU/Linux rather than on Microsoft Windows. At least you avoid the harm to your freedom that Windows would do.
I've had some really complicated feelings about nonfree games. The first thing to get out of the way is my treat brain that likes playing video games and has liked playing video games ever since I was old enough to pick up a Playstation 2 controller.
However, I can also recognize the immense level of harm that proprietary video games are capable of producing. The company, whose client program I effectively disengaged from, pioneered the online gambling epidemic that has only spread throughout the world (even in China, where efforts to curb the practice have sadly failed AFAIK). However it is that same company who created Proton, a translation layer for video games meant to be run on Windows to be able to run on GNU/Linux (so far, porting Wine to other free operating systems is possible) and have little to no performance loss. This program and the company's tie-in hardware product "The Steam Deck" has been responsible for an upsurge in people using a free operating system, even if it is to play nonfree games using a DRM-based client.
I suppose that availability of popular nonfree programs on the GNU/Linux system can boost adoption of the system. However, the aim of GNU goes beyond “success”; its purpose is to bring freedom to the users. Thus, the larger question is how this development affects users' freedom.
Perhaps some of these users will learn about the inherent value of software which respects your freedom. Maybe I am one of those users. To be honest, I started my journey into free software only two years ago, back when I installed Kubuntu 22.04 onto my lenovo laptop and marveled at a desktop that didn't eat 4 GBs of RAM and didn't have ads on startup. The freedom part came later, much later (I was still using Windows to play modded Fallout: New Vegas on my "gaming pc").
Then I asked myself 
"What will I have after 500 years?" Well, not exactly, but the same sentiment. As I looked at my Steam library of games (I must have spent an embarrassing amount of money and time on) I just thought to myself for a very long while.
Why would I even delete my account? I can just leave it there if I ever want to use it again. If I delete it, I'm just going to wasting my money I spent on those games. I'll be forced to buy them again, who would want to play video games with someone who doesn't even have a Steam account. Steam is synonymous with video games, if you don't have one (or its many shallow imitators), you don't get to play games. If you don't have a video game console, you don't get to play games.
Just keep the account, just forget about it. Don't install Steam on your operating system, the account can just stay. You'd be an idiot to waste your money and waste all this good VaLuE. 
To have freedom in your computing, requires rejecting nonfree software, pure and simple. You as a freedom-lover won't use the nonfree game if it exists, so you won't lose anything if it does not exist.
So I contacted Steam support and asked for them to delete my account, a few days later, they emailed back that they did.
After 500 years, I'll still be freer than I was 500 years ago. 
I'm going to read a book now 
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Seeing Stallman admit that using Steam on Linux is better than using Steam on Windows was amusing to me. Also most of his writing on gnu dot org is very good and he's not the only writer on the site. Emphasis on most though.
My point was more about how one is suppossed to engage with obtaining video games, buying into both the nonfree video game and the DRM clients used to launch them and ending up not owning anything. I don't see how the option of using illegally distributed copies makes my point ridiculous, that's not how most people get their media (at least in the US). I mentioned video game consoles to make a connection with steam's DRM and the DRM of game consoles.
Again, my point was to critique Steam and the concept of digital marketplaces where non-ownership is the norm, which we collectively as a society have accepted as the new normal, not even batting an eye to it anymore. Deleting my Steam account was to prove to myself that I do not accept DRM nor do I endorse it. In doing so, I've made myself the weird one, someone whos not willing to go along and my internal conflict was suppossed to represent that.
I probably should have made it more clear that I do use emulators/cracked copies of games though. Don't worry about me comrade.
I don't know if I should be banking on right to repair and libre cyborg bodies right about now /j.
i guess for me the thing with steam drm is that it's so trivial to defeat that it doesn't actually matter. i care way more that we don't have source or tools for these things than the fact that i need to spoof some dll file.
i think the bigger "problem" if steam shut its doors tomorrow is network stuff rather than losing access to software. you're not going to get cod kids to not play cod so it doesn't seem like a fruitful windmill to tilt at.