Both soaking and cooking hay will reduce dust, but there are added benefits to steam cooking hay. Hay that is soaked leaches vital nutrients such as carbohydrates, protein, and magnesium. With steam cooking the lose of vital nutrients is virtually non-existent.
Additionally, cooking kills mold and fungal spores which cause respiratory problems. Soaking hay enlarges the spores which makes them less likely to inhale but it does not kill them.
Steam cooking also works to kill many other living bacterial species that result in horse related illnesses.