Tarnicus: I'm that unfamiliar with Steam still even though I have over 700 games on there, I wasn't aware that cloud saving was ever a REQUIREMENT. Serious? I assumed it was an option :( I might have to look up which games require it.
It is an option (usually) it's just somewhere when Microsoft decided that everything belonged on the cloud there must've been some guys who went "yeah, that's a good idea"
I can't think of a single game in my steam library (well over 300 games) that forces cloud saves, though there are some (maybe most actually) that automatically back up to the cloud, which is done at the end of a session
EDIT: I just checked, there is an option in Steam to enable cloud saves where supported. I think it's on by default