I don't see why they would want to do this when the risk is probably quite high for them. They've got Steam Deck which is an amazing device.
I don't know if the risk is really all that much higher then the Steam Deck was, and Steam Deck has figured out a lot of the issues that the original Steam machines had.
The original Steam machine/Alienware Alpha came out in a completely different landscape then to what a new one would release into.
1. PC gaming was not what it is now. PC gaming in 2025 is much more mainstream then in 2015.
2. Steam Deck has figure out a lot of the compatibility issues the original machines had. The original machines could only run games that had native linux ports unless you bough the Alpha which ran windows. Steam Deck can basically run everything outside of games that require certain types of anti-cheat.
3. PC hardware is also much different now then before. A similar APU to what the Series X and PS5 uses is much more accessible now then before, and Valve already has experience working with AMD because of the Steam Deck APU.
4. Similar to the last point but if they didn't want to go the custom APU route they could probably just do a custom ITX machine or simply use laptop components similar to that Minisforum machine (tall skinny thing with a mobile 4070) but AMD for compatibility.
Valve has also proven that they can release a high quality product at a cheap price. The fact that the Steam Deck was released at $399 in 2022 is nuts as basically every single other handheld gaming PC is $600 or above.
If ANYBODY can do it it's Valve. They hit it out of the park with the Steam Deck, and they already have the basis of the machine right there in the steam deck. This would really just be a more powerful steam deck without all of the mobile components and paired with a new Steam controller or simply sold without anything and requiring a separate controller or M/KB.