Unfortunately the video is too noisy to appreciate all the machine's clicks and buzzs. There's a linked video though of a (simpler) automaton, which provides a much clearer angle to appreciate its working and the sounds it makes.
What is this? Is it even possible to build physical Turing Machines?
The infinite tape requirement is a bit difficult to fulfill, but that's true of the silicon implementations as well.
A Turing machine is only a device to illustrate an abstract mathematical construct. Of course you can build a device that resembles a Turing machine, but usually they do not come with an infinite tape as in the original definition.
It can run on steam if you like; it just needs one rotating shaft as input power. I did have the first version hooked up to a model steam engine, shown at the end of the video here: http://www.srimech.com/turing-machine-and-maker-faire.html