Doesn't have to be a loss, just competitive with what a self-built PC would be.

Daniel Owen does good PC part breakdowns. Especially video cards. Here's a cheap build he threw together using PC Part Picker to see what it would be like to build a PC using comparable parts to what the Steam Machine has, but a garbage power supply and case. It came out to $706.

(This link skips to 27:24. You have to rewind 2 minutes or so if you want to hear him talk about the bad power supply and case, which you definitely shouldn't buy.)

https://youtu.be/RTB-lP_qwc0?t=1644

If Valve can come in around $700 it will be a good deal. If it's sub $600, it's an outstanding deal. Especially because of the premium wifi, special Steam Controller antenna, small form factor, and stuff like that. SFF cases and motherboards have premium prices.