A big downside to purchasing through Steam is that Steam is still caught up in being a Game provider, and there are mechanics to Steam that suck for normal Applications. Steam pauses downloads when you open a game through Steam, and also only lets you open a single game at a time. This is generally OK, though why stop downloading a game if the game that is running doesn't even use the internet?
But for APPLICATIONS, these restrictions are literally stupid. I know that I have been able to open Construct and have a game running as well, but not always. I often am forced to close down something before opening up something else, be it Construct that is already open, or in the case of trying to open Construct. And since Steam is getting into selling all sorts of Game development apps, art apps, productivity apps, etc., this has become a fatal flaw in buying apps through Steam.
Honestly that doesn't bother me much, it's usually a bad thing to have more than a program running, it would overload my computer and I want the best performance for a game afterall.
One thing that does bother me in Steam is that when it's in offline mode, the program randomly stops working, claiming there is no account info and that can't go to offline mode, but if I get to a place with internet, it suddently works without having to login or anything.