Steel is harder to deal with for most people. Welding is not a skill many have, and it tends to warp when it gets hot. Even cutting steel is harder than cutting aluminum.
Aluminum extrusions are generally flatter than steel as it comes, and having all those slots makes it easier to assemble, especially with the special hardware the 80-20 system provides.
That said, those extrusions, and that hardware, are really expensive, and as you point out, they aren't as stiff. If you're able to weld things without undue warping, and can deal with cutting, drilling and tapping steel, it makes sense to use it at least for the parts of your design that don't need to move. Since aluminum is lighter, there's a good case for using it for the gantry and Z axis, although you can find it in other shapes besides those popular t-slot extrusions.