Still, going from a stream powered spinning toy to locomotive is a few orders of magnitude. Heron's "engine" was a little jet engine. Heated water pushed it's way out of pipes. It's a far cry from building steam pressure in a tank, using that pressure to drive a crank shaft, and pushing along a vehicle of any kind.

There are a number of industrial era inventions required before you can even start putting something like a train together.

The Romans didn't even have replaceable parts yet. Every nail was custom made.

If you haven't seen it, watch Clickspring's series on the antikithra mechanism. It'll give you an idea of how hard it was to produce complicated machinery was at the time.