Valve has made it trickier to use VPNs take advantage of Steam's regional pricing by introducing additional hurdles before you can change your country setting.
Steam's regional pricing means that, in some cases, there are large discrepancies in the price of games, ostensibly to take into account the cost of living and the economic situation in those regions. Steam makes suggestions, but ultimately it's up to the publisher to set the price.
What prices you see depends on your country setting, but VPNs can be used to trick Steam into thinking you're logging in from somewhere else. Valve's been been trying to put an end to this, however, initially by stopping people from changing country unless they have a payment method registered there. Another step, completing a purchase, was also added, and though it seems to have been a requirement for a while, it's garnered more attention recently after being highlighted by SteamDB.
"If you have moved to a new country, or are living abroad for an extended period of time, you can update your Steam country setting when you complete your first purchase using a payment method from that country," reads the support page. "If your location differs from your current Steam account store setting you'll have an option to change your store region while you view your cart or as you complete your purchase."
That's a lot more hassle than downloading a VPN.
Some VPN users say they aren't just looking for cheap games, however, and are instead using them because there's no regional pricing support in their country and the games are prohibitively expensive, making VPNs, piracy and key resellers a more attractive prospect.