Odd behavior to be sure The valves workings are quite simple, and easy to get at. The large thing that looks like a big nut on the valves body is... remarkably enough, a nut. You can hold the main body of the valve with one adjustable spanner and remove the nut with another. Some painters or masking tape on the spanners jaws prevents marring of the chrome.
The end of the valves adjustment shaft is hollow and there is a rubber plug in the end of the shaft that makes the seal against the inside of the valves body. I could only guess as to what is going on in there, but none of my guesses make much sense.
Remove the steam wands tip and check to see if there is any debris in there.