In some sense I'm more surprised that someone spend time and money on building a new steam locomotive, rather than the fact that you can fit ETCS on one.

Sure, fitting modern signaling equipment on a steam train isn't easy, but it also doesn't feel impossible. Building a brand new steam locomotive, again, sure you can probably do it, but it seems like a lot of expensive work, requiring skills that hasn't been employed in decades and it's probably not really worth doing, financially speaking.

Edit: Apparently it is not uncommon to build steam locomotives: https://en.wikipedia.org/wiki/Steam_locomotives_of_the_21st_...