Console manufacturers sell at a loss because they have to sell the hardware first before they can sell anything else. They know they'll get that money back on software you couldn't have bought without the console.

While I'm sure Valve hopes to bring some new customers to Steam this way, I'll bet that the majority of Steam Machines sold will be to users who are already invested in Steam and have an existing library of games to play. If they take a loss on hardware, they can't be certain they're actually making up for it elsewhere.

It's not practical for the Machine to be a loss leader because it's a supplementary product, not one the rest of their business is dependent on.