Condensing the steam back into water would undo the cooling power, so yes. Massively less efficient. Negative efficiency, as required by thermodynamics.

Your only gains would come from whatever increased surface area the system has, radiating energy however it can. But a radiator without any water involved would be as good or better. Air-cooled datacenters do exist, they're just trading other costs and usually can't release as much heat.

Apparently so