The air pump on my gas W126 makes a notable noise at first start in the am, though I couldn't compare it to a "steam engine". More of a loud clicking sort of noise. Last for a min. or so, then disengages.
As I understand it, this gadget supplies supplemental air to the exhaust in order to reduce emissions early on before the system receives the benefit of running closed loop, etc.
Thank you Ralph Nader.