Steam is water vapour whereas vapour alone may refer to any gaseous substance suspended in the air - which may return to a liquid state when pressure is applied.

Steam is from a heated water, like a pot or kettle full of water. Vapour is from water drying like a puddle drying out from the sun. Steam is water vapour but we would never think of water vapour burning your skin but we do consider steam to be able to burn your skin