Well, apart from sunk cost, and upgrade cost. Which is why East Germany ran some steam trains almost until reunification! (though I'd imagine they'd have been converted to oil firing by then, which brings down the work load a bit).
Coincidentally, pretty much the only place that can repair or build full size locomotive steam boilers today is in Germany. It's something of a lost art, I guess. When the UK commissioned a new steam train a few years back, they had to get the boiler made in Germany. No one left in the UK can make them, and they invented the things...
(apparently not exactly, but sort of)
While manufacturing facilities still existed in Britain to manufacture such a large boiler,[40] because of the design differences from the originals the trust required a supplier with specific experience of designing, building and certification of steam engine boilers to modern safety regulations,[38] as required by the European Union's Pressure Equipment Directive.