That's the reason for introducing any new format or service against existing competition when it makes sense, but why now? The time for trying to establish your own service is in the early days when the market is in flux and people haven't decided. Gradually those challengers get whittled down to a few successful ventures. eg. Sony abandoned its attempt to secure a download music service when they found they were completely losing out to iTunes. They deem it better to lose money on the royalties. However they are also opening up a multimedia content portal, based on their console success rather than their music players.The reasoning would be to have complete control of the revenues they get without paying royalties and avoid being subject of market fragmentation due to various consoles being released.
So yes, SEGA want to sell wares without anyone else getting a cut of their revenue. But what's the (economic) reasoning to go it alone when there are already established players? A sane rationale would need to have some predictions that the market for an independent, SEGA only download service, will be more profitable than the other markets. The only rationale I can think of that fits is that SEGA enthusiasts own PCs but not consoles, aren't buying the SEGA releases and won't buy the SEGA releases unless there is a SEGA application. Which all seems a bit far-fetched to me.