Yes, if you bought your original FFXIV via Steam, you have to buy Heavensward from Steam as well.

You should contact your retailer for a refund/order cancellation.
If you purchased from the European Union (EU) SE Webstore, use this URL and mention the problem with Steam. They were very polite and cancelled my pre-order without problems after two working days: https://store.eu.square-enix.com/eme...est-refund.php