With steam there has been a phase change from a boiling liquid to a hot gas so the steam has more energy than the boiling liquid. You first have to remove enough heat to condense the heat to boiling water.
If you get boiling water on your skin the skin immediately starts absorbing heat from the water and in the process starts cooling the water;
If you expose your skin to steam, the skin first has to absorb enough heat energy to convert the steam to boiling water, then the skin will continue absorbing heat to start cooling the water.
So, the steam can cause much more damage to your skin than boiling water.
When any substance changes state there is an exchange of heat; it is either absorbed by the substance during the change or released by it. Steam at 100 degree Celsius has several thousand kilojoules per kilogram of energy more than water at the same temperature. This is due to the fact that to change state from liquid to gas water has to absorb an amount of energy equal to 2257 kJ/kg.
The extra energy in steam damages more skin tissue and makes burns caused due to steam at the same temperature as that of water a lot worse.
It is essential to seek immediate medical attention if you are burned by steam, which could happen if you open the cover of a vessel in which water has been boiling, to avoid further complications.