"Shroud of the Avatar" did give away free Steam keys, and I kickstarted that, thus getting the key much, much later than I got access to the game itself. And here's why it's useful to have; Steam has an almost instantaneous patch authorisation system, so the game there is as up to date as if you launched it through it's own launcher. But as you're most likely using Steam every day anyway, this means everything within it's own library is kept up to date, you don't need to start each individual launcher to pre-patch, even if you don't intend to play that day.
What is more, many games later on add specific Steam integration, either hooking it into the social elements, the new Workshop for submitted content, or just adding Steam Achievements. Which can be frustrating if you actually support the Devs directly, because you end up with less content than if you'd purchased through Steam. Here in E: D for instance, what if the Workshop fast tracks the ability to invent your own custom skins etc? It's not suggested as far as I know, but one day it might be, and will cause even more anguish for people who'd like that feature. Especially if E: D ends up on one of the infamous Steam sales. So just allow people to create a Steam copy if they buy direct from Frontier.