Is steaming causing food to lose more flavor than baking? I made two banana nugget with two different method. For those who have never heard one, that basically a thin (3 cm thick in a pan of 5x5 cm) banana cake with a lot more banana than flour. 
One is done with baking in the oven and the other with steaming. Both aimed so that all part of the nugget is cooked. Baking in oven takes 20 minutes in 160 C, and steaming takes 30 minutes.
Even with the exact same recipe, I realized that the product has different flavor. The baked one is definitely more dry, more fragrant and I can feel the strong banana flavor when I eat it.
The steamed one is less fragrant, I can't really taste the banana flavor, and of course a bit more wet.
How is that possible? Is steaming really diminish/reduce the flavor? Or maybe I missed something?
For those curious with the recipe, the banana nugget basically consist of 6 part of banana, 2 part of flour, and 1 part of other ingredients (sugar, fat, baking soda, etc).
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.