Steam is a "heavy" program and the load times are huge. I mean, just starting up HL2 or Gmod or any of their products requires updates and authentications and the like. To me that is more of an inconvenience than just letting the computer send and receive an authentication communique.
Actually, really it's only sending and receiving a series of authentication packets to my knowledge. It checks if there's any updates, checks to see if your Steam account is in use elsewhere, checks to see that your Steam account owns the game you're starting, then starts. Plus, all this ensures that there is less or even no piracy on a lot of games.
Plus I see no problem with waiting a few seconds. Then again, I'm a lot more patient than most people.