There are some caveats involved with Steam, but you still have to move the SH3 & 4 games out of the Program Files (x86) folder to get it away from Windows UAC (User Access Control), whether you use disk, download or Steam, else Windows will 'rollback' any changes that JSGME makes. Steam just has their extra "licensing" step every time you start the game. A person can also make "extra" copies of their Steam games, just like a disk user can, so that they can have a Stock and several modded versions of the game on the same computer with the use of MultiSH. Those copies can be added to the Steam Start menu, and it does all its wondrous duty and runs the modded game just fine. If you don't add them to the Steam menu, they won't start because of the licensing. Somewhat reminiscent of StarFarce or Uplay...
