A penalty shot loss at Coventry denied Steelers the chance to draw two points closer to leaders Cardiff Devils.
But at least the South Yorkshire team moved a regulation point closer to the Welsh.
Tyler Mosienko and Conny Stromberg failed to score in a penalty shoot out in the Midlands, denying Steelers both points.
Like the previous night, Steelers were caught cold in the early exchanges.
Brett Robinson put Blaze ahead after 99 seconds as Coventry tried to set a winning theme, as they had against Sheffield the previous weekend.
While Stromberg banged in an equalier, at 11;46 Coventry were not to be outdone in the first period: James Jorgensen and Brenden Walker scoring in a six minute burst.
It looked like Blaze were on a mission to make it five in a row against Steelers.
But Stromberg was on fire - ensuring his first brace for the club reduced the score to 2-3 at 33;28.
Sheffield lost a chance to equalise when Brian Stewart got lost behind his net but they were not to be put off: Fredrick Vestberg making it 3-3 at 48;24.
As soon as they’d got level, Blaze bit back, Carl Lauzon scoring Blaze’s fourth at 50;49, but that was cancelled out by Sheffield d-man Cullen Eddy less than a minute later for 4-4.
It went to penalty shots, Jordan Pietrus scoring the decisive goal for Blaze.
On Saturday, Steelers fans showed their belief in their side by filling 5,636 seats at Sheffield Arena, for Belfast’s visit.
That belief was tested - but then repaid in full.
Belfast took just 12 seconds to take the lead, through Craig Peacock, and Sheffield looked like they were in for a rough night when Darryl Lloyd popped home a second at 21;49.
The next goal was always going to be significant and thankfully it came from Steelers’ captain Jonathan Phillips, on a short-handed play, at 35;49.
That put wind behind the home team’s sails and Guillaume Desbiens, back after a thumb injury, equalised two minutes into the last session.
Five minutes later Mosienko scored the winner, on the PP to make it a better night for Paul Thompson’s inconsistent special teams.
Jason Hewitt put the game beyond doubt with an empty-net fourth.