Buy at Frictional Games and download from Steam

[Yuhaney]

Actually, when I bought Amnesia off Frictional's website, all they gave me was a Steam download link.

Did you pre-order the game?
Since, I haven't used the Frictional Games' own store after the release date, I don't know whether it now have the Steam link or not.
It used to be only for those who pre-purchased the game, but I'm not sure about what it's like today.

wait wait Do I have to buy the linux version seperately?

No. One purchase includes every platform.