Sorry HellBoy, I had a bit of a brainf*rt.
#2: Regardless which type is used, both will require amplifiers to make them work.
#2a: The air-core will likely have it built into the case of the meter.
#2b: The stepper will likely have an outboard amplifier. The reason for the outboard amplifier is that the stepper motor and geartrain will take up a fair amount of room in the meter case.
#3: The stepper meter is a bit more sluggish in reponse, because the servo is driving a geartrain to move the pointer.
#4: The air-core is much more fragile, and can't withstand any excessive handling.
#5: The air-core will be less expensive than the stepper.
My personal choice would be a stepper. They are robust and the response is more than adequate when using them for measuring an egt thermocouple.