My doctors told me that the steroid works directly on your nasal tissue, making the nasal tissue more suceptible to allowing the inhaled virus to be absorbed. Many many viruses are airborne and inhaled. These are the kinds that you are more prone to.
If you think about it, mucous production is part of your immune system. It helps keep our bodies from inhaling and absorbing things that shouldn't be there, so when you supress that, it makes sense to think that viruses could get in easily. Plus steroids do weird things to your tissues in general to make them weaker and more suceptible, the steroid itself doesn't have to get into your blood stream.
I am using Flonase. It's very safe for pregnancy because it isn't absorbed into the blood stream and it's been wonderful to have something while I'm PG. But I got a sheet with it when I picked up the prescription that listed the most common side effects as "Headache, sore throat, and viral infection."
So that's where I got my information from.