I agree with @AgeOfAwesomenes, but that’s just speaking from my own personal experience and observations of conversations in the forums.
I feel like MS Store users have had some odd issues that are harder than usual to diagnose, get responses to, and/or resolve in a timely manner. It’s just a trend I feel I’ve noticed, but it’s just my anecdotal observation and I may be off-base.
A couple examples, though, are:
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Early on in AoE2:DE’s life, there was an event (Anniversary Event) where you could get the Photon Man cheat code; however, it turned out MS Store players were not able to get it at that time. They eventually made it possible for MS Store players to get it (Patch 36202), but it was a month after Steam users had already gotten it
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It doesn’t seem possible for MS Store version players to enable the 4x and 8x debugspeeds; or at least not as of May 2021. Near the bottom of the thread I link to below, FoughtBird1976 posted this:
Aside from those, there’s been a small handful of error codes and issues I’ve seen crop up that seem unique to MS Store users. I get a sense that the number of players with MS Store version is probably also smaller compared to Steam; so any unique issues or errors that do pop up don’t have as many people in the community having the same issues/errors to discuss, corroborate, or help resolve
Personally, I’ve had a lot of success/fun with the Steam version; not too many bad issues. But I don’t play online ranked multiplayer very much or at all like others do. Depending on who you talk to, your mileage may vary 
Hopefully at least a few more chime in with their observations/feelings
PS: It’s a little counter-intuitive that the Steam version would be more desirable, since it’s Microsoft’s game. But with AoE2:DE at least, Steam seems to maybe be the safer bet