I imagine they would use it for similar purposes to its historical use. Namely draining mine workings (in the cases where this was an important issue), to allow easier and deeper access to mineral deposits.
There are probably a lot of reasons why the Romans didn’t develop steam.
Firstly although they may have had all of the component parts it might not have been at all obvious how to arrange them and devise a working engine to the minds of the ancients. In fact more than a thousand years later and the penny still hadn’t dropped so it can’t have been that obvious despite the fact that after the event we think it should be obvious.
Although they may have had all of the parts they may not have been used by the same people for the same things at the same time. It would perhaps be as if in our world a milling machine innovation needed to be coupled with a lock gate innovation and a new furnace innovation. Might happen but it’s not at all obvious who is going to be in a position to come up with that one.
There was also no pressing need for a steam engine as most mine workings were still fairly near the surface and for those that weren’t the Romans would probably have fallen back on their mechanical engineering strengths to find a solution using levellers and pulleys etc and or slave labour.