Is steaming causing food to lose more flavor than baking?
Yes it does, and you actually already described some of the mechanisms in the question already. It is an effect that is more widely known in vegetables (roasted have more taste than steamed), but I suppose that this is much rarer to steam cakes.
First, you already mention that the baked one is drier, and the steamed is wetter. This is already a factor - try dipping a bite of the baked one in water and eating it, then eat an undipped bite, and you will notice a difference there already. The &quot;waterlogging&quot; itself is already a reason for the taste to change.
Second, steaming leads to much lower temperatures, especially on the outside of the cake. If you have oil added, either in the batter or brushed on the pan, you are also missing out on reactions which happen between the hot oil and dryish batter in one case (these are the reactions which make fried food so tasty) and are impossible, or very reduced, between the not-so-hot oil and the wet batter (that is also covered in condensation where not in contact with the pan) during steaming.
Third, banana flavor itself is brought out by heat. For many applications using bananas, it is normal (but not so widely known) that heating/precooking your banana changes its flavor and makes it more intense - you can use this for ice cream, for example. And I suspect that the lower heat in the steaming case is not sufficient for this to happen as much.
Fourth, there is the concentration issue Spagirl mentioned in a comment, which is partly overlapping with the first one, but I suspect that there is a separate effect beyond the intermediate experience of wetness on the tongue.
So yes, it is very normal to notice such a difference, and it goes beyond banana bread and its relatives.