If you have Steam games already, and you like the Steam paradigm, use it. The Amazon download is also a "managed" download, but is definitely easier to backup and take with you, though you do still need the internet for initial licensing. You can make copies of either, and move them around on your own computer to your heart's content. The Steam version does require you to add the copies to, and use the Steam start menu to run your game, but other than that, very similar usage.
One thing to remember about the old DirectX v9,0c, of which SH3 & 4 are, is that you do not want to install the game into the default "Program Files" folder(s), else Windows will "protect" them from "unauthorized alteration". In other words, Windows will rollback the mod application. The way to avoid that is to install the game in a folder outside of the "Program Files" folder. In Steam, if you already have games, that gets complicated because you have to make a new Library folder (see "
Moving a Steam Installation and Games") which might be enough to turn you away from Steam. But similar is the same with the Amazon download, in that you have to alter the game path during install. Myself, I prefer a physical disk, but from what I've seen, there aren't any available, unless you want to trust a used copy, which opens a whole nother can of worms, and is (legally) impossible to do with SH5...
