There was a lot of information and comment about the cylinder steam effect posted on the Forum when the Milwaukee Road S3 came out. Some owners reported that the plastic hoses carrying smoke to the outlets were kinked on their units, resulting in no smoke. This was an assembly error that was not hard to correct once the engine was apart, but that engine is said to be hard to take apart.
The smoke fluid takes quite a while to percolate into the lower smoke chamber when it i added to the stack. Similarly, it takes a little while for the element to heat up and the cylinder steam often doesn't work well when the locomotive is fired up from cold.
Mine didn't work very well when I first got it, but now it works well. The smoke can be hard to see, depending on lighting conditions. It is a neat effect when it works and when the light is right so you can actually see it, but I doubt it is really worth the expense and trouble. If I had a choice of that or whistle smoke, I'd take whistle smoke.
Hot Water is, of course, correct about the cylinder cocks, but to make them work in sequence would require an elaborate internal valve mechanism that would be expensive to build and likely add to the warranty hassles. I'm OK with the compromise.