This is not necessarily true. A lot of the times, this is only the case if there is no "publisher" at all. For instance: Bohemia Interactive and their store. They publish their own games, so a digital download saves them on Steam, Gamestop, or whatever.
In the case of a game like CoH2, where Relic does have a publisher (Sega), what sometimes happens is: The developer gets paid depending on certain conditions set by the publisher (AAA game quality, a certain rating to measure "success" and so on) as well as a cut off the number of copies sold. The digital distribution is probably only saving money for Sega, who was going to dish out the cash for the discs and stuff, not Relic.
So... most likely, you are not giving more money to the Devs, but to the Publisher.
Steam is probably taking a fairly big cut of the profits as well. After all, why are games usually more expensive on Steam than as physical copies?