That feature simulates steam coming from a pair of cylinder cocks under each cylinder. Engineers opened them after locomotives had been standing a while and cylinders had cooled down. Steam could enter and condense. Water does not compress. If steam on one side is pushing a piston forward and water is resisting on the other side, something will "give." Open cocks allow steam and water to escape by using pressure caused by moving cylinders and gravity. They make a loud HISS HISS sound.
This feature should shut off after a locomotive gets going. But it stays on. It looks as though a locomotive is leaking steam - to me, anyway.