And is there anything (else?) I should know about the downloadable version/s of NV or any limitations?

All versions run on Steam, it doesn't matter where you get the game, you always have to activate it on Steam. So NVSE works on Steam too. The only other important thing you have to know is where your New Vegas folder will be, and that's at Steam/Steamapps/Common/Fallout New Vegas.

God, I hate it when people don't read. Besides google, this Xodarap idiot could have just read a couple posts down, right on the topic OP. WTF?

Seriously, though, someone lock this please