I have wavy hair and it gets curlier (and frizzier, but whatever) in humidity - I use FSG with protein and often harder hold gel over it. Those ingredients respond to humidity by hanging on to water. Here's the thing; with steam you don't get quite the same hair-product re-activation you get from spraying a little water on your hair and re-scrunching, and as the moisture evaporates from your hair (if you're in a low-humidity environment), some of the volume and some of the curl boost go along with it.
http://science-yhairblog.blogspot.com/