There were many good points. So I have to add only some (for me important) ones.

- Native version has more sales (you pay less)

- Native version will not give an extra cut to valve.
Maybe stupid, but I don't want the company of my favourite game go bankrupt and the servers go down (even thought right now it seems like they are steady).

- Valve gives no extra value. If I want to have all games at one spot, I can add the game manually (GOG Galaxy is better btw)