While it's hard to pin down this sort of problem so briefly, I strongly suspect something came loose in shipping. The Bezzera BZ10 is a single boiler heat-exchanger machine, but it also has a set of heating elements in the brew head to help maintain even brew temperature, so this may have produced the sensation of the machine heating up for coffee but not steam/hot water.
Alternatively, there is a high-limit reset switch, a thermostat that would (under normal circumstances) trip if the boiler got too hot too soon. On a new arrival, however, this part may have been jostled somewhat less-than-friendlylike by the freight carrier, and it may have inadvertently reset. This thermostat is found on the bottom of the boiler and can be accessed by way of a service panel on the very bottom of the machine--this is also where I'd first look to check for any loose wires. You can open the panel by removing the four bolts holding it in place.
In the worst case scenario, call technical support! If you bought it from us, that'd be 888-411-5282, Option 3.