I emailed the Hero Siege devs to ask them if people that bought the game and don't use Steam would have their money lost because they could no longer play the game.
This is their reply:
we are not interested in supporting IGS or Desura, steam just works so much better. Its always a big ass pain updating the game on other channels, we are trying to pull desura out anyway
So basicly, those who bought it on other distribution platforms other than Steam and just simply don't use Steam can no longer play the game and have their money lost. Well, that's a thing...
It kinda reminds me of the Teleglitch situation but in that case they were being published by Paradox and Paradox is known for having their games Steam only, with a few exceptions.