I haven't done anything through Steam. Is there a reason I should or should not?
I think most seem to prefer standalone. If you want to do trials, that is easier.
I have stuck with Steam mainly because they already had my billing info rather than hand it out to another company. Especially Russians. I'm sorry, Swiss.
What exposure I have with Steam, I've already had for years so that risk is a sunk cost.
Also it auto-updates for me. When I wake up and a new patch has been released, it is already on my machine installed.
But I'd bet most will tell you to go standalone.