Some of the problems the Doble has:
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Corrosion. Hot steam condensed to water sitting in pipes and fittings is not healthy for longevity. 
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Energy transfer. The Doble has a gigantic ‘radiator’ up front that is actually the condenser for the steam’s closed cycle. Any heat it cannot shed has to be shed out of the car as steam, which means in the summer time the water tank only has a range of about 70 miles. It’s a big radiator and a big water tank. In a smaller regular car, it’s not clear that you could radiate all that heat out, meaning short range. 
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Condensation in the engine. If you try to start the engine before the cylinder temps come up, there could be liquid water in the piston. According to Jay, if that happens the result is an immediately destroyed piston. 
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Oil. Just like in an IC engine, you need an oil lubricant, and some of that oil gets past the rings and into the cylinder. In a steam car, that oil mixes with the steam, making a mess of the environment if you blow it out of the car. The doble has big cloth ‘diapers’ to soak up the oil/water mixture. The water evaporates out leaving the oil, but on a regular basis you have to remove the diapers and dispose of them. 
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Energy loss when not moving. If you’re just sitting, you’re burning a lot of fuel to keep the temperature up. If you shut the car off, all the heat you paid money to generate radiates away, and then when you start up you have to sit and wait for the whole system to heat up again. 
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Shedding heat - Jay says the engine throws off so much heat it warms the limousine-sized interior of the car without needing a heater. But in the summer, the car gets uncomfortably warm from the boiler heat transferring to the interior. 
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Safety. Not just the risk of an explosion - there are check valves and such to prevent that. But the car uses 800+ degree superheated steam. A crack or a leak or rupture due to an accident is going to spray superheated steam everywhere. The boiler itself can heat to over 3000 degrees. In a major accident, that could be bad news. 
There were a bunch of other problems that had to be solved or that still remain to make steam a practical choice. Maybe they can be overcome, but I’m assuming the smart guys who do the math look at the cost of solving it all relative to the gains to be made over modern IC engines, and go “Why?”
We’re now making direct-injection, flex-fuel IC engines that can burn all kinds of fuels and produce amazing amounts of horsepower for their size and fuel consumption. They’re modular, small, can be outfitted with turbos or used with hybrid drive systems, and they just work.
It’s going to take a big advantage to move away from the billions of dollars of development in modern IC engines and go to something radically new like a steam powered drivetrain, especially given the limitations and technical hurdles to overcome.
That said, it’s always worthwhile to revisit old designs in light of new technologies. Maybe the reasons steam was abandoned no longer exist - modern ceramics, computer controls, metallurgy and other advances may suddenly make steam look pretty good again.
But I have faith that the thousands of automotive engineers working for the major automakers are not stupid. I’m sure they’ve had plenty of bull sessions where they talk about alternative power all the time, just like we are.
And exotic projects get greenlit all the time - turbine powered cars, fuel cell cars, etc. There’s no lack of willingness on the part of the auto industry to try something new to gain market advantage. So if steam hasn’t made a comeback, there are probably good reasons for it.