Some games on Steam are DRM-free and you can play them without running Steam. That is good, but you still need the proprietary Steam client to download them and Steam doesn't tell you which games have DRM before you buy them. gog.com and itch.io prove that this can be done better.
Most of them don't, but some do. Just like with programs and apps.
Do they provide ethical installers?
They don't provide any, you just download the game itself. Or you can use their Free Software client, which will download and update the games for you.