None, really. Don't listen to people who say that rust is a problem, a decent and properly-finished steel frame will last for decades with little or no sign of rust unless severely neglected.

The issue is not the disadvantage of steel but the advantage of other materials. Weight is the biggest issue. Apart from that, carbon offers lots more possibilities for frame design, for example. It's also pretty dirt cheap to manufacture once one has made the very considerable initial investment required.

As to comfort, frame material does make a difference and high-end steel tubing does offer the potential for a very nice ride. But the geometry of the frame is more important than the material in determining how the bike will feel and handle. Choose the bike that seems to suit your needs best.