Steam is the most secure, although that can be a small headache in of itself. As of recently, you have to link your XIV account to your Steam account which means if you're not logged into your Steam account you can't play. if this is a problem for you (cos apparently Steam is the devil and eats all your RAM according to ffxiv community...) avoid Steam. get 2FA regardless of platform.

I switched to PC via steam in 2017, and since then there's been 2 instances where I couldn't log in due to Steam, lasting 20mins and 5mins respectively. people love to overblow this to ridiculous proportions but like a lot of things this community says, they're mostly full of shit.

it allows me to use Steam Wallet for paying sub which is very convenient to me for years since old SE store refused to take my debit card and would lock down purchases for 24hrs any time i tried.

probably the biggest factor, at the time i bought the pc version, it was on sale on Steam and was full price in the SE store. was able to get ARR/HW/SB for less than SEstore wanted for it, and the times i bought SHB and EW off Steam i had discounts so it was also cheaper.