Actually, the Steltek Gun was basically the best gun available. That's one reason to search for it. Revenge, like you said, is another, and it certainly does make sense. Think about it. We spent most of P1 working to get that gun. We faced hundreds of Kilrathi, Bounty Hunters, Pirates, Retros, and even Militia, just to get that gun. And then some Retro freak goes and steals it? That most certainly wouldn't go down well. What I do think is silly though, is that in the end, you got revange but you didn't get your gun.
Incidentally, I've been prowling through P1 files. Damn, but that game would have been twice as great, had they spent more time on it. Apparently, there was also supposed to be a whole set of random "special" missions, for example Militia-killing, spying, etc.