I have been around in the PC gaming realm for somewhat longer than I have the console one, so I can probably give you at least a little bit of guidance here.
Steam is the PC gaming realms most preeminent game distribution service. At a high level, it works much the same way as the Xbox or PSN distribution services. You have a storefront, you have your library of games, and you have some social tools (friends lists, text and audio chat, etc). Like the console distribution platforms, it does use digital rights management software (DRM) to make sure you aren't hacking things or stealing stuff. Steam also tends to provide at least the option for games to use its Steamworks service for multiplayer, though not every game uses it. Keep in mind that when you use it, you are basically going straight digital. Most games that use Steam as the primary platform don't have physical versions, and even if they do, Steam doesn't really need the disc you have. It's going to install everything off the disc to your hard drive, and then run updates on its own on it. Once you've registered the Steam key to the Steam client, you don't even need the disc anymore, as Steam can install all the files you need from it's own servers.
I do not know a ton about Steam Consoles (so take the following with a grain of salt). However, it is to my understanding that a Steam Console is basically a mini gaming PC designed mostly to run Steam games, and not much else. It's operating system is SteamOS, which is basically a customized version of the Linux PC operating system. The primary focus of the Steam Console is to replicate the overall feel of a console (designed for the living room with a controller and a TV), rather than the traditional PC gaming feel (I sit at a desk with a keyboard and mouse, and an actual computer monitor).
My own personal opinion is that if you're wanting to step in to the realm of PC gaming via the vehicle of Steam, a Steam Console is not the way I would go about it. Here are the reasons why I think this way:
1. It seems to me that the Steam Consoles are pretty expensive for what they offer. As is usual for this kind of thing, if you were willing to build a desktop PC for yourself (or by the parts, and find somebody to assemble it for you that won't charge you a huge amount for it), you would get a lot more capability for the money.
2. I don't think that there is a way to upgrade the hardware of a Steam Console once you have it. Keep in mind that unlike the console world, there's nobody that enforces hardware standards for PC gaming. That means that eventually, the hardware requirements for modern PC games will outpace what your Steam Console can do. This is a problem for all PCs, but with a desktop (non-laptop) PC, you at least have the option of upgrading components in the PC, rather than having to buy a whole new unit.
3. The Windows operating system is the operating system that most PC games support by far. While there are a growing number of PC games that support the Linux (and SteamOS) operating system, the number is much smaller than what is supported on Windows. So you may find your selection of games is limited somewhat on the Steam Console.
4. You are artificially restricting yourself to just the Steam ecosystem. Keep in mind that there are other distribution services on the PC (such as Electronic Art's Origin service and Good Old Games Galaxy service), and if you run a Steam Console, you won't have access to them. Heck you can often buy game directly from the publisher without using a distribution service! In addition, if you have a Steam Console, you'll be running what is essentially a PC, but one that has a restricted ability to do the things that most modern PCs can do (web browse, office productivity software, video and graphic editing, etc).
Given, well, the place you're posting on, I would sorta assume you're interested in the Steam ports of Arc Systems Works fighters. If so, be aware of a couple of things. Firstly, ASW doesn't, to my knowledge, port the games to PC themselves, but go through 3rd party developers. Secondly, the PC ports tend to lag behind the console releases by at least several months (example, Blazblue CF came out on console in Nov 2016, and its Steam port will show up on April 26, 2017. We do not yet have a release date for a PC version of GGXrd Rev 2). However, the PC ports, from what I have seen and heard, are still capable products, with some extra benefits such as variable screen resolutions, the potential for mods, and in the case of Revelator, supposedly less input lag than the PS4 version (though that's not something I can confirm).
I can try to answer more questions you have, especially if you can give me a better idea of what gaming you are specifically interested in. You might also check out the PC Master Race reddit at https://www.reddit.com/r/pcmasterrace/. It's a PC-gaming focused reddit, and there are people on there who are frankly waaaay more experienced than I when it comes to PC gaming, and they might be able to answer more questions that I can. But, let me know if I can help further!