Actually the dealer gave you gas that is widely used to weld steel. CO2 will work too, you get a little more spatter, the CO2 depletes the carbon in the deposited metal a little so the deposited metal is not quite as strong. As you noted a refill is cheaper and in addition CO2 is liquid in the cylinder so a lot fits in. If you weld aluminum I believe you will need straight argon.
Bill
Mark:
In addition to what has already been mentioned, some flowmeters / regulators are not recommended for use on co2 because the cheaper low- mass bodies tend to freeze at high co2 flow rates and low temperatures. The fact that your flowmeter is rated for both may mean that you got a better flowmeter.