For me, it comes from watching the console wars. Some new game comes out but, because a console company paid to make it exclusive, people with the wrong console don't get to play it (and PCs were often considered a 'competing console' - sometimes even by Microsoft). Worse yet, people were making buying decisions based on exclusives. Which console was actually best started to matter less. What does it matter which console has better stats for the dollar if the games you want to play can only be found on one of them? Some people were even buying multiple consoles just so they could get at another company's exclusives! (And it's coming back, too. Want to play Final Fantasy 7 remake? You either wait or you pay Sony for their console.)
Now there's big, important difference for the stores: they're free. You don't have to cough up $500 to download Epic's store! The comparison phenomenon is still there, though. What does it matter who's store is better when there's only one choice? So why would Epic bother making their store better if you're forced to go there, anyway?
Let's take it out of gaming and put it in the grocery store. Say a grocery store works out a deal with all the milk producers in the area so it becomes the only place to buy milk. If you want milk, you either go to that store or you pack up the car and drive 40 miles to get it. This brings plenty of folks into the store, which now has greater profits - but they don't invest those profits into make the store better. In fact, they divert funds so they can get exclusives on the soda/pop/Coke/fizzy drinks. Then alcohol. Then bottled water. The store itself becomes pretty terrible, but everyone goes there because its the only place that has any drinks! Other stores in the area close, and the grocery store drops its exclusives because there's no longer any competition to worry about.
Companies using their own stores to sell their own games doesn't bother me so much. Presumably, the game wouldn't get made at all otherwise. There's a back door there where a store can get exclusives simply by buying the entire developer, but that door is supposed to be watched under the heading of "vertical monopolies." (It can be a problem in grocery stores, too. Have you seen those store brands?)
GOG does have a few exclusives, I think, but those are really old games. They "paid" for them by making it possible for them to run on modern PCs. It's much the same thing as stores selling games they make themselves: the game wouldn't exist in a playable form otherwise.
Steam has a ton of exclusives not because they paid for them, but because they were the only serious online store around for a long time. That's sad, but I can't blame them for it. If they were paying for them, threatening to pull the game off their store if the game was also sold on GOG/Epic, or something like that then that would be another matter. In fact, Steam seems to be pro-competitive! If you buy on GOG or Epic, you can still use all of Steam's forums and guides. You can even buy a game key on Humble and use all of Steam's updating features.