For one, the ferrite is made for higher frequencies really for lower losses at those frequencies. Grain oriented Si steel is usually used for lower frequencies, up to audio range only while ferrite is seen in radio.
Steel can carry higher magnetic flux so a steel transformer can be smaller for a given power rating. But steel is conductive so it has eddy current loss, which increases with frequency, making it too lossy for use at high frequencies.
Ferrite has high electrical resistance so it has little eddy current loss, and is thus more efficient at high frequencies.