It depends. Buying on Steam means you can use it on any future headset from other manufactures in addition to Oculus. That's a big advantage, and using Oculus Tray Tool (developed by a 3rd party to help out Oculus owners), you can easily add SteamVR to Oculus home.
The only disadvantage to this is you don't have easy control as to what version of the game launches while wearing the headset. Many games with SteamVR and Oculus support, you can right click within Steam and select to launch in SteamVR mode or Oculus SDK mode. Doing it that way means partially removing the headset while using the mouse to select, not that big of deal to me. I just like using the Oculus version because it's sometimes less buggy or have better Touch support. For example, Apollo 11 the screen went blank for some reason in Steam VR mode, while Oculus mode worked fine. This might not even be an issue on bigger budget releases that automatically select the best mode to run in? I just know for Apollo 11 it defaults to Steam VR mode if you buy it on Steam. I was still able to use the mouse to select Oculus mode.