Moisture is a concern in any bathing environment. A typical steam shower is followed by a standard shower allowing the steam vapors to cool a bit and become condensate on the wall which runs off and down the drain. In the end, you have moisture to deal with.
That said, ventilation directly outside the bathing environment is always recommended. Today's quality inline bath fans provide superior performance, minimal noise, aesthetics, and even integral lighting - this is the way to go! They don't show their bath fans online, but call www.SteamSaunaBath.com
at 800-707-2862 and ask about inline bath fans which have been tested in steam environments by steam experts.