That's kind of a waste of all the power and capability a computer has, to only use it for games. My computer does just about everything in my house, from running my TV, to giving me stuff to read, to storing my library of whatever content I have, to running old game consoles.
Like it or not, shipping a physical copy is much more expensive than providing a download, as you can have infinite copies of the download generated, and don't have to pay any shipping or distribution, as well as time for delivery to the customer being greatly reduced. SquareEnix wouldn't have to worry about producing too many physical copies either and eating a loss on that production and distribution cost. Many computers nowadays are shipping completely without optical drives because digital distribution is so common for video/audio/software content that it's being built into all the major operating systems. Steam and Amazon are the giants of digital software distribution, and as they are the first place many people look, it doesn't make sense to try to compete with them by starting your own service when you can just publish to them. Heck, even Microsoft doesn't run their own software download servers for their programs and operating systems, they use DigitalRiver, which a lot of other companies do. SE is nowhere near the size of Microsoft.
It's not like it's hard to download the FFXI install data from someone else that has it either. BlueGartr has links to all the expansion installers. All you need from Steam or Amazon is the registration code, and you can get the install data from elsewhere.
If you want a physical disc, you can burn the data to one. It won't be any different in content from a disc sold in a store. Otherwise, you can buy an Xbox 360 disc, or a Japanese PS2 disc (though the code won't be useful to you unless you have a JP account). I'd rather have the install data on a flash drive though, easier to update when new data is released.
Steam and Amazon take multiple payment options. Gift cards are sold in physical stores that work with them. I believe PayPal works on at least one of them, and that can link directly to your bank account.
Back in December, with the all-account-two-week-reactivation event, they released a full download of the core game and all expansions for PC. They deactivated the links when the event was over, but I'd wager that someone kept them and had them up elsewhere for download to this day. It's not hard to get install data for PC. SE sells expansion codes individually in your account management page.



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