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No. There is no way to steal through a direct message on Steam. I mean, the FBI is probably spying you, anyway. But they don't care about keys.

If they are bought through shaddy sites, expect shaddy deals. If you want to make sure, buy through official sites - Fanatical, Humble and he will see

If you really want a game and you can't afford full price, just wait for a sale and grab it at an official source. Isthereanydeal is a good site for keeping an eye on prices of games that you want.

Nah, you can't steal keys from DMs. Shady sites are shady sites. That's all.

I seriously doubt keys can be stolen through chat, except if your account gets hacked and somebody has access to your chat messages. I have left keys in Steam chat for hours, even for days and they were always working. If your friend bought the keys through second-hand reseller sites, then that's where the problem lies

There is a possibility. If someone was infected with a keylogger.