Yes, in theory steel is not the best material for a high-pressure tank.
We use it because it's cheap and well tested. But we are probably better of with a layered combination of a few different materials. Steel may not even enter it.
Steel is the best material for certain scuba applications due more to buoyancy characteristics than strength. Firefighters typically use composite tanks for SCBA now, which are stronger but too buoyant for diving.
Layers of dissimilar materials are often problematic due to galvanic corrosion, different rates of heat expansion, and water intrusion between layers.
We use it because it's cheap and well tested. But we are probably better of with a layered combination of a few different materials. Steel may not even enter it.