They are free of "third party DRM”, they are not free of
first-party DRM, aka the DRM system integrated into Steam.
If you buy Horizon: Zero Dawn from Steam, you won’t be able to actually start the game unless Steam is installed. However, if you buy the game from EGS, it work fine even if EGS is not installed. The EGS version is a completely standalone copy of the game that does not require any clients in order to run.
This are a handful of Steam games like this as well. One example I purchased recently is Ori and the Will of the Wisps, which I downloaded in a VM before moving over to my main (Steamless) Windows install. It works fine. For whatever reason, however, this seems to work far more often with EGS games, and I really appreciate that!
Edit: Useful reference https://docs.google.com/spreadsheets/d/16BjnaBO40vkt6kFVl0QW...
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Edit2: By the way, I mentioned in my parent post that Journey was DRM Free on EGS. I have just learned that as of a recent update, saving is broken without EGS (although the game still launches, and you may not need saving given its two-hour runtime).
I'm willing to chalk this up to a bug rather than anything malicious—and of course, the good thing about DRM-Free software is that if you've backed up your old copy, it will keep working, and no one can take it away from you. But, this type of thing is definitely a reason to still prefer GoG and itch.io where possible.