Hi,
You can buy steam locomotives in depots that should not allow this, like electric depots, by using the "Put in front" option and selecting a tender (http://imgur.com/a/odTEA (http://imgur.com/a/odTEA)) which auto-buy the associated locomotive, or buying a long chain of specific carriages that ultimately only allow one type of locomotive (http://imgur.com/a/02CLR (http://imgur.com/a/02CLR)).
Experimental 11.2, Pak128.Britain-Ex-0.9.0.
Thank you for reporting this - I have now found and fixed this on my 11.x Github branch; the fix will therefore be applied to the next release.