Blame publishers more than Steam. I'm sure there is a default exchange rate that can be applied, but it's up to the publishers of the games to set regional pricing. Now that the Rand is getting stronger, it just seems like the pricing is inflated compared to other regions. But publishers have not updated their pricing yet, nor do they have much incentive to do so.
As others have pointed out, sometimes the pricing works in our favour. See
Nioh. R269 for a $49.99 game. This also confirms that Steam is not the one setting the pricing. If they were, then we would not have such a big "discount" on some games.
Also to echo what others have said, grey market key sellers can be shady, if only for the fact that they often cannot source their keys. G2A gets a lot of flack because of their practices and companies that have spoken out against them, showing that they are actually making losses from credit card charge backs. This does not mean cdkeys.com is good, nor does it mean it's bad, but I would not personally use them if I knew there was a chance that it would hurt developers.
It's not just about using the regional pricing and cutting into a dev's profits (although I agree with the points @HavocXphere makes), but because the company can potentially lose money because of these practices.