@MontyWild's right, but let's be more clear.
The smoke stack's primary purpose was to vent the exhaust from burning coal and/or wood.
From a basic point of view, it doesn't have anything to do with water (or sulfur, in your case). If you need a stack (aka, an exhaust pipe), then it's due to whatever you're using to change the temperature of the sulfur. If that doesn't cause an exhaust, then you don't need a smoke stack because the sulfur (a consequence of the valve actions around the pistons) could be either evicted to the side or simply sent back to what a traditional steam engine would call a boiler.
Monty's perspective is important for the same reason that modern 95%+ efficiency furnaces need an exhaust fan. After sucking so much heat out of the combustion to heat the water, the remaining heat wasn't enough to lift the exhaust. The heat from the expelled steam helped lift the exhaust out and away from the engine.

Image courtesy ThreeRiversRambler.com. See website for details of operation.
Why couldn't the exhaust simply have been shunted down to the tracks? Ignore wood for a moment and remember most trains were driven using coal. And coal ash is a big problem. Tossed down onto the tracks (like modern combustion engines drop it onto the road) would cause the ash to be stirred up, seriously degrading the passenger experience and potentially harming goods such as food and animals. In the early days of steam, train cars were not hermetically sealed by any stretch of the imagination (compared to modern passenger cars, they might as well have not had windows).
If you've never had the chance to ride an old steam engine, add it to your bucket list. Even with that big stack the ash is a problem. Having traveled on such trains a couple of times it's easy to realize why they want to push it as high into the air as possible.
TL;DR... So, do you need a stack?
No...
Frankly, you haven't given us enough information to answer that question. Steam isn't the primary reason (or the primary component) of what travels through a traditional steam engine's smoke stack. Therefore, talking about the sulfur is kinda irrelevant — unless you need to vent the sulfur for the same reason to vent coal ash, to not kill or damage what you're dragging behind the engine.
However, the smoke stack works because of rising heat. I haven't taken the time to read through all your posts, but originally you were looking for an endothermic process. If that's the case, no way on earth would you have a smoke stack.
In fact, what you'll likely need is an auger. Cooled sulfur is a solid. But that might be a false perception because I haven't followed your complete design.