The reason they do that is because if they didn't set a fixed exchange rate, fluctuations in the world economy would mean that while you might pay more for games now, there would be times where you'd pay even MORE for games. There are plenty of times Valve and developers/publishers take a bath because of that fixed exchange rate.
It might not seem like it now but back when Steam came out and Valve started all this stuff up, the worlds economy was in a lot better place. The fact is, most people living in the countries the exchange rates you're talking about effect had higher standards of living and higher wages than most other countries. Maybe it's not the same now but it would more than likely end up boning people worse if they tried to change it for every game across their platform. Publishers would run screaming and so would a lot of developers.
If you want things to change, talk to companies like Runic. Talk to developers and publishers. Get people together. Get petitions going, spread the word. I'm sure there are people out there already trying to do something about it. Just recognize the fact that it might not be something they're capable of changing. Economics is some pretty complex stuff, especially on a global scale. There's no such thing as an easy solution.
If you want to save money, have a friend from a different country buy it for you and gift it to you and then pay them back.