Only way water would get into the exhaust system is through headgasket failure, but a good indication of this is the mayo but if the steam is only on startup then it's more likely to just be condensation in the exhaust system. Check your plugs too though, are any of them cleaner than the others? That would be another indication fo HG failure.
Either way, the water if going somewhere and it's either going into the engine via the HG or it's escaping the system elsewhere, which would point to a leak.
Exactly how much are you losing between checks and how often are you checking?