For what it's worth, I bought Civ4 + BtS from Steam and I've had no problems. (Well, unless you count being stuck at version 3.03 with no option to downgrade as a problem.) It's actually extremely convenient being able to play without needing a CD in the drive, especially when I take my laptop away from home.
I know that doesn't directly apply to your problem with combining retail Civ4 and downloaded BtS, but I wanted to defend Steam as a good quality purchase option. Which "on-line download system" did you purchase the game from? That little detail might help people make a more informed decision.