It would have been quite hard for them to make one big enough to do any real work. It's a reaction engine: the acceleration times mass of the steam going in one direction is equaled by the acceleration times mass of the ball turning in the other. Since steam is quite light, the only way to make it turn a heavy ball is to have it come out very fast: ( this is essentially how a rocket works, too). This means it would have had to be under considerable pressure, and it would have been very hard for the Greeks to make a pressure vessel, a boiler, to create and contain that kind of steam and also a big hollow whirling ball that could do the same thing. And then there's the matter of having a rotating seal/bearing for it to spin on, and there wouldn't have many good options for that even when other steam engines arrived in the 18th century. So, no steam trains, steamboats, for the Greeks. Nor did Heron actually indicate any such use himself: his treatise has a fair number of inventions that were to look magical: that made an altar fire start by itself, or raised an altar from the floor. The whirling ball could have been just intended for much the same purpose.

What's this about a Greek steam engine? Anywhere I could read up about it?