If it's DRM free on Steam, then as soon as you download it, you've got it DRM free. There are quite a few games you can launch directly from the .exe in the game directory, Dwarf Fortress being one of them.I think Valve should give developers and publishers an option to download a DRM free version of their game if they choose to do so. If that were to be the case, I’m sure ~95% of games in Steam won’t have that option, but it would be nice as the customer to have the option. Of course though, that’s just not how Steam operates, so it’s just wishful thinking.
You could technically buy DF, download it, refund it and have it free and clear. Of course, you won't get updates and it's ethically dubious, at best, but it can be done. I know I own several games like this, but I couldn't tell you exactly which titles.