

Steam does scan for malware, which is why this is news. It’s notable that a game got through that was malware. You haven’t heard about other stores because it’s not worth the effort in targeting them. I wouldn’t be surprised to learn that most stores use the same vendor for malware scanning.
Malware creation and detection are billion dollar industries playing an eternal cat and mouse game with each other. These programs don’t just instantly try to steal every file the second they run.