Even if someone keygened your key, you could always download the expansion off of Arcen's website and install it on top of the steam AI War install and it will work.
Yea, it will still work, but steam won't recognize you as actually owning the steam version of that particular product. Which means that steam doesn't remember your license key for you (and in theory you can't download the game from your library screen, but you can download the demo from the steam store, which is the same program... though I don't think you can download the expansions from them in that way). Also, if that happens to you with the base game then steam won't let you buy the expansions directly through steam because they require the steam version of the base game (which it isn't persuaded you own). Which doesn't stop you from buying the expansions direct from us and using them with your steam copy, but it still won't remember your license keys, etc.
It's a bunch of peripheral but not-totally-trivial advantages that come with steam actually thinking you have the steam version. But the product itself works just fine.