Andrew R Stewart 

Alloy VS steel- Alloy is lighter, generally found in mid to better grade (not cheap entry level) and with sealing features beyond any found in a cartridge bearing, made from softer material (easier on the frame/fork but also easier to strip the threads with). Steel is found across the entire grade range, often at a lower price then a matching alloy version, often not found with a cartridge bearing or added sealing, stronger threads and not as easily rounded off nut flats,

I mention the thread strength because one of the more common repairs I make on alloy headsets that have been used loose is to replace the top/lock nut due to it's threads being damaged from the rocking about on the steel fork's steerer. Even these days we sell a number of steel top/lock nuts a year. Andy