American buyers often assume there is a universal "I changed my mind" right online. For digital video games there mostly isn't. Unlike the EU's 14-day withdrawal right, the United States has no general federal cooling-off period for downloaded software or games. Your Steam refund is governed by Valve's published policy — the 14-day / 2-hour rule — not by a statute that forces a refund.
So when Steam denies a refund (you are over 2 hours, or outside 14 days, or in a non-refundable category), the policy denial is usually the end of the Steam path. That is the moment to look at the levers that sit on top of store policy: a card-issuer dispute under the Fair Credit Billing Act, your state Attorney General's consumer office, and small-claims court for larger sums.
Use the FCBA route only for the right reasons — the charge was unauthorized, or the game was misdescribed or faulty so that the "goods as described" protection applies. Run the chargeback calculator first: the federal window is 60 days from the statement the charge first appeared on, and missing it forecloses the cleanest backstop. For a simple change-of-mind denial with no defect, a chargeback is unlikely to succeed and can endanger your account.
For a genuinely defective or misrepresented game, document it (error codes, crashes, screenshots, the store description) and pair the dispute guide with your state consumer-protection office. Many states' "Little FTC Act" (UDAP) statutes give the AG power over deceptive or misdescribed digital sales — a stronger tool than most players realize.