I've purchased Defiance, and I'm familiar with adding external games to Steam. My question is, can I add Defiance to my Steam account where I would be able to download it from Steam directly? I did try adding the key in the retail box.
If you purchased Defiance outside of Steam, I don't believe you'll be able to add it as a "native" Steam game, without already having a Steam key. The retail key you have will only work for a retail copy, or a direct download. Like you said, you'll be able to add Defiance externally though.
It also depends on where you purchased the game from. Some companies or publishers provide a Steam key if asked (or do so automatically upon purchase). Though, as Nolonar has stated, there's no guarantee for this. In general, I would say you need to buy a game from steam, in order to download the data required directly from the Steam servers.