wild_wolfman: Having network play requires online servers to hold the player data and perform matchmaking. As Red Hook cannot technically afford their own dedicated server for DD exclusively, they had to utilize Steamworks (Steam's own game-independent infrastructure for said services). Currently Steamworks has no API available (and very likely won't ever be) for any platform outside Steam itself.
Thus, in contrary, trying to make online DLC compatible with other platforms and stores would require
much more work and resources in the long run.
It taking much more work and resources is a bit too much, but yes it would take relatively more work overall to make it compatible with different stores/platforms, even if just to have get outside their comfort zone and use the tools that would make this possible. That's the point though, as this is a known factor ahead of time and not new information they'd get from releasing it on Steam first.
In order for them to be sincere in considering to release it elsewhere later this added work would need to already be accounted for. in which case it is more efficient to do the necessary work to implement the DLC right away. Especially on PC, where you can use the crossplay of Galaxy to add to your overall player numbers. It's also an investment into their reputation, as only releasing the update on Steam won't sit well with their other customers, when you want purely positive press going into the build up to Darkest Dungeons 2.