I asked myself what version to choose not so long ago and went with the website one for 3 reasons :
1/ I sometime use C2 at work for personal interfaces, and couldn't install steam there.
2/ I like to keep up with the beta version, and didn't see this option in Steam.
3/ Steam didn't let met use multiple instances of C2, wich was useful for writing plugins.
I didn't understand the minor difference in pricing though. Maybe it's because of currency exchange rate, but C2 was about 3? less on steam than on scirra.com.