The effects this stone grants are nearly identical to the Conditioning perk in the Heavy Armor skill tree, the Unhindered perk from the Light Armor skill tree and the Extra Pockets perk in the Pickpocket skill tree. However, clothing, shields, and jewelry are unaffected by the armor perks, but the Steed Stone allows for them to be weightless too.
When using the Steed, it is possible to carry multiple copies of the same armor with no effect on total carry weight, even items with different enchantments (as long as they are the same base item). Wearing one of the items makes them all weigh nothing.
This is also possible with Conditioning and Unhindered from the Heavy and Light Armor trees, respectively.
Using the Aetherial Crown in combination with the Steed Stone makes it possible to have a low-weight item that can be equipped to greatly increase carry weight.
If the Steed Stone is active, equipping apparel, armor, and weapons that weigh more or less than what you currently have equipped can either positively or negatively affect your encumbrance. Switching from a bow or two-handed weapon to a staff or one-handed weapon and a shield can also affect your encumbrance and vice versa.