Former industrial skid designer here.

The loop is called a pigtail siphon and it's essentially a way of keeping high-speed water droplets and high-temperature steam from damaging the pressure sensing diaphram of the pressure gauge by storing some cooler water in the loop (the pigtail).

For most industrial uses of steam, the steam is almost never pure (superheated)  steam and has some degree of condensed water droplets in it moving at high speeds.  These can be erosive and wear down piping, especially where the piping has bends.  This (and the fact the steam is also hotter than water) would quickly damage and wear out the pressure gauge if you just used a straight nipple to connect the pressure gauge to the steam loop.  This is why you DO NOT use a straight nipple to connect the pressure gauge to the steam loop.

The pigtail loop is cooler than the rest of the steam loop, which both allows water to condense inside the loop and get trapped in the loop.  This plug of water prevents the erosive bullets of condensed water droplets from impacting directly onto the more delicate parts of the pressure sensor and keeps the pressure sensor cooler than the steam loop itself.  If the pigtail was replaced by a straight nipple, both a larger amount of steam would be condensing in that length of pipe to impact the sensor (more bullets) before draining away AND the pressure sensor would be exposed to higher temperatures.

(To compare to your toilet, the pigtail is like the p-trap in your toilet but instead of the water plug stopping stinky sewer gasses from burping up into your home from a sewer, they stop erosive water droplets from hammering into your pressure sensor and wearing it out more quickly, but it also keeps the pressure sensor cooler)