Am I doing something wrong?
Plenty of good games have been written with Game Maker? Desktop Dungeons and Spelunky come to mind.
I would also add that you should not get discouraged. Don't compare yourself to others. Just do what you enjoy and even if you don't complete games you are learning from the proccess of making them.
Also, if you never finish games then concider keeping them simple. Start with a simple idea but one that will stretch yourself a little. As you work on it you will probably have to cut out some of your ideas because they are too difficult or simply keep you from finishing the game. You will love many of these ideas but it has to be done. Also, be carefull not to continually to add new ideas to you game through the development proccess. If you don't stop adding new ideas you will never finish you game.
I would recommend adapting something like Unity eventually, but there are ways to continually improve Game Maker games, besides programming even. So if you go the route of sticking with Game Maker for awhile, you should be good.
Just as there's people using Unity and other engines, there's people that are determined to start from near scratch because it suits them to do so. I think the real question is whether or not Game Maker is doing what you need it to do? So long as it is then it's the right tool for you to be using.
To extend that a little bit, there's a difference between making a game just because you want to and making a game to build your career. If your goals are career orientated (by which I mean you want to work for some AAA company) then you will likely need to look at what skills are in demand at some point.
I have read over your post 3 times trying to descern what possibly is not being said. I do not think the question is "what Are You Doing Wrong" as much as it may be "Where Are You Going" Maybe you are not quite sure what your end goal is and wondering if you are using the wrong tools to get there.
You do not buy an airline ticket before you know where you are traveling.
Maybe you should redefine what your goal is with your game, then select your tools.
I personally have never used any of these game engine makes. I started to design my own games, simply because that I personally felt that alot of the single player games became to difficult beyond a certain level. I wanted to make sure that the Computer (AI) was playing me "HONESTLY", even though the program would have to know what I had as far as resources and I knew nothing of what it had.
So I set out to write my own "Game Engine" where the AI player was essentially was as blind to my resources as I was to it's. While seperate sections of code acted as a Game Administrator.
To recap. You are not doing it wrong, you just need to define what you are trying to do.
Your Brain contains the Best Program Ever Written : Manage Your Data Wisely !!
To recap. You are not doing it wrong, you just need to define what you are trying to do.
This.
I also would like to point out the fact that if you are making a game with Game Maker, you are developing a game. The tools you use do not dictate what is and is not "developing".
I too am guilty of starting many more game projects than I finish. So, when I thought of a game idea I really liked, I vowed that I would see it to completion no matter what. I'm 2 years in and there's still a long way to go, but persistence is the key.
It helps if you find an idea you're really passionate about. I don't just want to create this game I'm working on, I want to PLAY it, and I can only do that if I finish it.
My advice: Spend some time coming up with a great concept you're crazy passionate about, and then don't stop working on it until its done. Anyone can come up with a great idea. Not everyone is willing to put in the hardwork to finish.
Become a finisher.