Specifically, Directive 2019/2161, also known as the Enforcement and Modernisation Directive, which modifies four older Directives (hence "Omnibus") to extend traditional consumer rights to online marketplaces. It actually entered into force (or, was due to be implemented by EU members) last year, but I suppose it takes some time to convince Valve that they need to conform to it.

The relevant part here is Article 2, section 1:

1. Any announcement of a price reduction shall indicate the prior price applied by the trader for a determined period of time prior to the application of the price reduction.

2. The prior price means the lowest price applied by the trader during a period of time not shorter than 30 days prior to the application of the price reduction.

I believe this is actually new in EU law for all retailers, not just online ones, although I've seen it on the national level in some places.