Steroids as a class of drugs increase the risk of cardiac adverse events via their effect on lipids.
Prolonged shutdown of the testes may result in permanent atrophy and infertility.
Orals can damage the liver, which can take months to recover but isn't likely to be highly long term unless the doses are outrageous.
Kidney damage may result from prolonged higher blood pressure.
Long term elevated iron levels are bad as well.
The good news is, WE KNOW all these things and can work around them. I fully believe in on cycle support, cycling off, and good post cycle therapies. There is NO REASON to be cheap with your health, you can't spend money when you're dead.
As far as government regulation, totally agree it makes no sense, many things have a worse risk profile than AAS use. Think about how many guys know very little and TRY to kill themselves with this stuff, and it's still very rare to see issues.