You can doubt whatever you want but the fact is Steam did NOT offer refunds until they were sued in Australia and lost.
As for EU consumer rights, look at Article 16 (m) in the link you posted:
> Exceptions from the right of withdrawal
> Member States shall not provide for the right of withdrawal set out in Articles 9 to 15 in respect of distance and off-premises contracts as regards the following:
> [...]
> (m) the supply of digital content which is not supplied on a tangible medium if the performance has begun with the consumer’s prior express consent and his acknowledgment that he thereby loses his right of withdrawal.
As for EU consumer rights, look at Article 16 (m) in the link you posted:
> Exceptions from the right of withdrawal
> Member States shall not provide for the right of withdrawal set out in Articles 9 to 15 in respect of distance and off-premises contracts as regards the following:
> [...]
> (m) the supply of digital content which is not supplied on a tangible medium if the performance has begun with the consumer’s prior express consent and his acknowledgment that he thereby loses his right of withdrawal.