from the FAQ sticky:



I bought and play FFXIV: A Realm Reborn on Steam. Do I need to purchase Heavensward on Steam to upgrade my account?
Global: Yes, you do as the Steam and Windows versions of A Realm Reborn have different play entitlements. The registration code that comes with the purchase of the Steam version of FINAL FANTASY XIV: A Realm Reborn is a Steam-specific play entitlement. If you purchased the game via Steam and set up your service account using the Steam-included code then you cannot use a non-Steam version of Heavensward to add the expansion to your existing account.
Essentially, the way steam handles its product codes, you cannot import a non steam version of the expansion, and install it on top of the steam version of FFXIV. the product code would not integrate with steam, and therefore would not integrate with the service account.