You see that red line, that is the maximum amount of pressure the locomotive can hold before it will blow off, this is bad, but why?
The goal is to raise steam and keep the fire at a state where when you ready to go the steam is there and can be used.
If the locomotive is blowing off, the energy used to create that steam is just being spat out into the atmosphere which is a total loss, if the boiler also has too much water when it blows off it will stream water out with that excess steam.