I bought through steam, but I've also never played through steam.
I installed the game from the ffxiv website. I'm able to use the non-steam version of the game without issue.
The only restriction you have if you buy from steam, any expansions etc need to also be obtained through steam. Which means, for example right now, it looks like the game is on sale in the Squeenix store, but I don't have any access to it because i have the steam game.
There are instructions online that will let you have it set up like this (essentially i think it's get your registration keys from within steam, then go to mog station and add in the steam registration codes). I'm not sure how the subscription through steam wallet works, i always go to mog station to pay for the time, however long at a time it is.
Otherwise everything Champ's said is correct too
Hope this isn't too confusing and helps.