I'm going to speak to my own experience, and in the process make some sweeping generalizations, which I hope can be forgiven.
The user bases and attitudes on each of these sites seem to be very different. When publishing on the Nexus, I feel a strong sense of community; lots of feedback, lots of suggestions, and very merciful forgiveness when things go wrong. Useful bug reports, useful testing, and in general warm and fuzzy vibes. I get the same feeling here; "we're all in this together."
Steam does not seem to be conducive to, or most of its users do not seem to be interested in, the same level of community building. It feels more like a Mod Store, except all of the products are free. And when things go wrong, I don't feel like people want to work with me as much; there doesn't seem to be as much respect for how much donated effort and time goes into building great mods. Instead I feel like a cashier at the front of the Mod Store, being told "this doesn't work as advertised, and damn it, you'd better make it work or I want my (proverbial) money back!" You have a large audience that is used to Steam and professional content and things "just working". There is a strong cognitive disconnect where user-created, free content is expected to be as polished and problem-free as professional, paid-for content. You don't have this disconnect on the Nexus, since everything is already user-generated.
I have a tremendous amount of information I need to convey to the player to understand how my mod is going to change how they play the game, and so I need a lot of space. The Steam Workshop is very restrictive in terms of how long the description page can be, to the point that I've just started directing my Steam users over to Nexus to read the description there. Nexus pages can also use BBCode, which can make it much easier on the eyes with proper formatting.
I can also only offer one version of my mod on my page at a time on Steam, which makes beta-testing out of the question. I currently rely on Nexus users to beta-test new releases, and after they pass muster, I upload to Steam. In general Steam lacks the publishing power that Nexus provides me.
So ends my Steam Workshop complaint letter, and why I really don't enjoy publishing there right now.
