This is quite normal.
When you turn off your steam shower, the remaining steam in the pipes cools and becomes condensate. The longer your pipe run, the more pipe in which to potentially collect condensate. When you turn on your steam shower, the fresh steam pushes the condensate in the pipes out your steam head as it enters the steam shower.
Pitching the steam line 1/4" per foot of pipe length during installation is generally recommended to prevent this from occurring.
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