Steam is just nice cause of the interface, log into steam, click a button, boom game is installing.
Amazon isn't shabby either, but if they were both the same price I'd say do steam, just cause it's super easy to keep things homologized.
and there is no problem at all with steam, it's just you have to do a few more one time steps to get things like Windower working, but you wouldn't ever use a 3rd party program, right? XD
Also, I won't go into detail, but if you have an FFXI account and have played the game you have keys to all the expansions. So you don't really need to buy a new copy of the game. You could "Borrow" a copy from a "Friend" and it'll work fine. you don't need any to input a special key or play, just your account info.