I have the Steam version, and I have had some problems with it. First off, I made the mistake of launching the client without having Steam connected and it launched the free version. I was confused at first, but quickly realized that the client had to identify with the Steam servers to work properly.
When I then connected Steam, it still wasn't seeing the licensed version for some reason, so I had to uninstall Construct and reinstall it from Steam. That worked, but now capx files can't be launched by double-clicking them, and don't show up with the Construct icon, nor are they identified as being affiliated with any program. I can still open them, but I have to manually open them from the Construct client. I have tried affiliating Construct with the files manually, but it doesn't work. I even tried uninstalling again, including all the registry entries, and reinstalling.
Still no dice. :P
I should have just bought Construct from the website like a sensible person.