Some indies are pretty well-done. I know I've enjoyed at least one and plan on trying another eventually. Though I don't have a Steam either, and I pretty much play Nintendo exclusively. The 3DS is my system of choice now, and I'm very happy with it. :)
I love taking my time to explore game worlds at my own pace, so I know that feeling. Though doing that definitely made ORAS way too easy for me. Adding a Challenge Mode would've been nice, I think. I guess because of these preferences, my favorite main series games are Black2/White2.
I do love PSMD though; it's the most difficult of the PMD games and requires some thinking (or preparation) to get through some places. Disallowing you to go out and do your own thing is something I came to accept. I like that it prevents level or item grinding, limiting item preparation and leaves you to rely on your wits more. Though I suppose you've had worse, seeing as you've played Etrian Odyssey, haha! :P