There wouldn't be anything illegal about what I said. There is no law saying Valve has to allow all of it's users access to all of it's services. In a world where you sell your digital game to another user, Valve is legally outside of this transaction if they're not receiving compensation for the license transfer. That's why it's a tricky issue - because if users can cut Valve and the publishers out of the deal, they have no legal obligation to you that the game (a) works correctly or (b) is in the same working condition as it was when it was attached to someone else's account or (c) anything really. Don't like it? Take it up with the person you bought it from. This is kind of like the transferability of warranties of physical products. In the US at least, companies don't have to honor warranties for products that are sold secondhand. Some are nice, and do, but most strictly prohibit that for just this reason: they don't want to provide service to a non-customer.
Also, your analogy to roads is flawed because roads are infrastructure that are typically put in place by governing bodies for the mutual benefit of everyone, and everyone shares in the cost of implementation and maintenance. And even then there are still for-profit toll roads that require additional purchases beyond that of your vehicle.
That's actually a really good point. As above, if Valve is cut from the transaction completely they wouldn't have any legal reason to be expected to allow the secondhand customer to use their bandwidth. Again this is all purely hypothetical, but the point stands.