yeah, Steam only acts as the copy protection and patching, besides that it′s just like handling your copy of Fallout 3
Basically, that. Steam shouldn't effect this, even if Steam was used for more than just DRM, since I'm pretty sure that there are Steam games which still include a console. Now, of course, some games might not use it, but I'd imagine that's because the designers of those games decided that they did not want to include it for whatever reason, not because the games use Steam.
And yes, I don't want it to be removed, since as a player, I find it helpful to have it for avoiding certain bugs, such as getting stuck on geometry or falling through the floor. Whether in Morrowind, Oblivion or Fallout 3, I've found myself using the console to escape situations where I'd otherwise have to reload not because I screwed up and died, but because of an error in the game's programming, and while I do not mod myself, I know that for modders, it's helpful to have it for testing their mods.