Steeping takes the sugar and flavor from malts that are either already converted (crystal malts) or that have no real starch left anymore (dark roasted grains).
Mashing, on the other hand, uses enzymatic action in pale malt to convert starch to sugar.
So the real question is, do you NEED to mash? If you want to try using pale malts ("2-row", Maris Otter, etc.), or starchy adjuncts (corn, rice, flaked barley, etc.), then you need to mash. Otherwise you would just be generating starch soup, which is not what yeast like to eat. Yeast likes to eat sugar. But if you are not using any pale malt or starches, then a simple steep is all you need.
All that being said, mashing is really just a long temperature controlled steep. If you mash all your grains with a high portion of pale malt at about 150 F for at least 40 minutes, your starches will be converted to sugars. Then when you pull the bag, or use a false bottom in a traditional mash tun, you separate the leftover husks from the sweet wort, then bring to a boil and roll. Instead of having to buy extract, you are just making your own.
The cooler mash tun just makes it easier to drain. But if you have the right setup or don't mind touching hot 15-pound 150 F bags of grain, then you can just mash right in the bag if you want. It's all good.
That help?!