Since Trainz 22 PE on Steam was my introduction to the game, I personally have never had a problem with using that version. I paid just over $20 (incl. tax) for the game on the Plane's Trains and Automobiles sale they had last September. In fact the cool thing about Steam games is there's an option to verify the files. So if the game corrupts itself you can run that, and see if it will self repair.
Say you lose a hard drive (you know because failure is an option in computers), you can easily reinstall the game with Steam. NO hoops to jump through I don't know what happens if you lose the EXE file and N3V's policy of recovery (especially if you never had a backup). I know that Run8 Studios is VERY picky about their game. If you lost your receipt, you are SoL. One disadvantage (and I REALLY loathe this) is the online DRM. You know E.T. phone home. So if you lose your Internet connection you won't be able to properly launch Trainz (unlike most Steam's games which can play locally offline or online).
Now I know most every long time Trainzer here will swear that buying the game from N3V is the ONLY way to go, but for me in the US, it was way more expensive than the Steam sale (and yes I did a price comparison at the time.
Ultimately it really doesn't matter what we say here. It all comes down to the following:
What is the most convenient way for you to have Trainz?
What is the most cost effective way for you to purchase Trainz? (Money talks and you know what walks).
Do what you want, and enjoy the Trainz experience.
SkittleKicks