Being a "space" not inside of a tendon/organ/muscle, don't steroids/anesthetics placed in the epidural space remain there forever?

No: Steroids will dissipate and absorb even from the epidural space.

Absorbed: No, steroids injected into epidural spade are absorbed.

They diffuse away: The epidural "space" is really a layer between different types of tissue. It is more correctly known as a "potential space" that only becomes a "space" when we inject somethings that separates the layers. It is similar to a skin TB test or allergy test in which fluid is deposited in the skin quickly enough to form a bump/bubble/lump and in a short time the fluid is absorbed by neighboring tissue.