The only downside to Amazon print-on-demand is the same as Steam... they won't pay out until you get $100 USD in royalties and they take 40% plus the cost of printing so you only make a couple dollars per book...
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I imagine the upside is the same on Steam too, though. Being on that platform gives legitimacy to your product AND you don't have to work with a publisher to make the product easily accessible. I completely understand that it stinks to work around their system, but hey it's basically free money and maybe you can use this to get a publisher to back Volume 2 :)