The Legacy Milwaukee Road 4-8-4 also has cylinder steam effect. That probably doesn't help you much, though, since that engine went out the door at a bargain price from Lionel and it's now very hard to find and often sells for more than MSRP.
I have the Milwaukee Road Northern and I find the cylinder steam effect to be kind of undewhelming. It doesn't produce all that much steam and it can be hard to see depending on the lighting conditions. You have to be careful when filling the smoke reservoir that you wait for the fluid to wick down into the secondary reservoir before you try to use the effect. Also it doesn't work all that well when you first fire up the locomotive - it works best if you shut the locomotive off to reset the smoke unit after the unit is warmed up. It's a cool effect when it's working right, but IMHO it's a bit overrated.
When the Milwaukee Road Northern first came out there were a lot of posts about the cylinder steam effect. You might want to look them up.
BTW, the PRR 2-10-4 is a remake of an earlier Lionel engine that had TMCC and no cylinder steam effect. Those can be had at very attractive prices on the secondary market.
