Green peppers are the least mature of the bell peppers. As peppers ripen their color changes to yellow, orange and then red. The nutritional value of green peppers does vary from the more mature colors. Red peppers have more vitamin C than green peppers. Red peppers are also much higher in vitamin A and beta-carotene.
Cooking Brussels sprouts can alter the nutritional value: some nutrients are harmed by cooking and some nutrients are more available to the body because of cooking, so eating a combination of cooked and raw fruits and vegetables is a good idea. Steaming vs grilling is mostly a matter of taste preference, any nutritional differences are minimal.