Because there is basically one distributor
for all Console games in Australia, who are based in Queensland. Steam is priced the way it is as under the terms of the distribution contract, the publisher is not allowed to undercut the local distributor's price (and I hear part of the proceeds goes back to them if sold digitally as it is a 'lost sale').
The reason that they charge an arm and a leg is that they have every major film studio and game publisher in their pockets. On the gaming side they have Nintendo, Sony and Microsoft, plus Acti/Blizzard, EA, THQ, TakeTwo, Ubi and Sega. Nobody cares about the rest.
Funny thing is every man and his dog buys a $35 Russian key and they get shit all. Many Console players import their discs from overseas too. So it's not a tax, it is a greedy distributor.
The sole reason for the higher priced games in Australia is the monopoly held on the market by All Interactive. Nothing more and nothing less. And retaillers like JB are parallel importing as a result.
and I also know a store manager of JB HiFi.
If you are sick of high prices, then do the correct thing and bypass them as much as you can. Buy your DVD's from Amazon.co.uk and get your games gifted from the US if you can, or buy keys from other territories.
The sooner that the Activisions and EA's of this world wake up to the fact that they can sell the games at less online and make more money, then watch them drop these muppets. It will take the new consoles to do it as they will be the start of the "Buy and Download, optical media is optional" transition.