That's pretty much where I am. While there was never a conscious shift, I can't remember the last physical game I bought that wasn't a CE. And more and more I find that if it isn't on Steam yet, I just wait until it shows up or I don't bother at all...
My move from retail wasn't conscious, but unlike others I don't care about boxes (I had to go to my parents house and throw a ton of ones from the early 90s away last year, actually, all in their basement), and once it was clear I was digital or bust it was conscious for me to be 100% Steam. Like you, if a game doesn't hit Steam I don't play it.
Yeah, it's bad. Yeah, that is what created the Steam monopoly (and I think we're pretty much at the point that you can call Steam a monopoly over the PC game digital distribution market.) I think Microsoft may break the monopoly, I think Amazon may break the monopoly, but as it stands I am solely Steam. For the 100th time (haha!), I don't want multiple programs running at one time on my system, and I like having one "bookshelf" that I can open up and see the list of games I have available to play.
It may be worse for me to have a monopoly, but it's far nicer for me to only have one provider to deal with.