If you're buying to upgrade a Free Trial to the full version of the game, you may need to stick with how your Free Trial was set up. So if you got the free trial through Steam, then buy the game through them as well. If you got your free trial directly from SE, then you can buy the game either from SE or any third party retailer (other than Steam).

(For people starting from scratch, I wouldn't recommend using Steam, due to how they lock you in or out like this, but some people need to use Steam to avoid losing progress made during a Steam Free Trial.)