The Steggy is a really cool way of making a big cannon magnet into a viable choice because of one reason: Sharpened Horns. D6+1 S6 Multiple Wounds impact hits... mmmm. Top that off with Terror, Stubborn, great stats, and for a nice 250 package you have a pretty decent monster. The baby Stegadon certainly isn't a bad choice, its just that the points difference is so marginal you might as well get the better version.
That being said, its weakness are the same as any monster: its a cannon magnet without so much as a Regeneration save, and it can't find off a whole unit of infantry alone. Worse, it also can't Fly. That's not really a problem with the Stegadon itself, though, its just something you should be aware of.
In the absence of Monstrous Cavalry, Stegadons are a pretty solid choice (and a pretty solid counter to MC as well), and there's ways to mitigate their cannon vulnerability if that's what you want (easy access to Iceshard Blizzard, war machine hunters, target saturation through multiple large monsters, etc).
Put it another way: there are certainly much worse monsters out there, and many of them are in the same book.