So if this is anything like Max Payne 3 on PC (and I assume it is) yes, you've -to use your words- doomed yourself out of using all Steam functionality with the game. That is joining friends games through their Steam profiles and such. You'll have to start building up a friends list on Social Club which shouldn't be a big deal since all your friends had to make an account to play the game, even if they bought the Steam version.
What I don't get is that you bought a code from a physical copy of GTA V from an online store expecting you to download it. The codes from the physical copies of the game are entered post-installation (again, drawing from my experience with Max Payne). You wont have the installer if you don't have the disks or the Steam version, which downloads through the Steam Client. In my experience Social Club codes and Steam codes aren't interchangable. I've contacted Rockstar support about a similar issue regarding Max Payne 3 DLC where the code was purchased on Steam, but since my copy isn't Steam enabled, could not be used on Social Club. The thing is I don't know if this works the other way around, so I would try using the code you bought on Steam. If that doesn't work I have no idea, man. You might have been ripped off, unless Rockstar has some secret digital download service I don't know about where you could enter the code and download an installer.
The G2A Key is used exactly like buying direct from rockstar - you sign onto social club, enter key, then download installer.
I'll also say the game and key do work - It was more a question of friend connectivity