It’s not that strange if you consider that you use image files to transfer images. Trying to store data outside of that (in a custom chunk) isn’t a use case anyone is accommodating so it will get stripped even by accident.
So if you use stego and store data in the image, you have a bigger chance of preserving the data.
Depends on whether you're expecting people to treat the files as "images" that happen to contain other data, and so e.g. upload them to photo-sharing sites, imageboards, etc.; or whether you're expecting people to treat the files as "programs" that happen to render with a thumbnail by default on most Operating Systems.
Personally, I don't see a PICO-8 .p8.png cartridge as an "image" any more than a Fireworks project file is an "image." It's a document that wraps itself in an image container to enable the 'document' to be previewed. It just so happens that you're able to very carefully treat the document as "an image" in some contexts (e.g. if you put it up on your own web server, and then embed the resulting URL in a webpage, people who right-click "Save As..." the 'image' will get the original document.) But this isn't really the goal (since you could do that just as well by generating an ancillary "cover art" file to go with the cartridge, and linking to the cartridge file using the cover art file.) The goal of such embeddings is just to make your document visually "self-describing" when examined with regular OS tools.
Of course, if you're considering designing your own PNG-embedded document format, and sharing the document losslessly via imageboards, photo-sharing sites, etc. is explicitly the goal of your format choice of PNG; then yes, steganography is the way to go.
But, well... if you are going to go the "embed the data in the pixmap" route — why not go all the way? Skip steganography (which will survive re-containerization, but won't survive the slightest lossy re-encoding), and instead just generate a "cover art" image containing a QR code that embeds the document data. Then the document would even survive digital-analogue-digital conversion!
(For the PICO-8 case, if the .p8.png files were simply art containing QR codes that the software could read directly, then a PICO-8 mobile app could support importing cartridges using the camera. Then people could just stick their carts up as posters at indie game conferences, or give them out as business cards.)
So if you use stego and store data in the image, you have a bigger chance of preserving the data.