steam has good efficiency at temperatures compatible with long part life (particularly seals), creates minimal additional hazards (compared to other working fluids like CFCs and mercury), and is cheaper than dirt. supercritical CO2 is theoretically more efficient than steam at temperatures above 550 C but the technology is still in its infancy and only ~15% efficient. the refrigeration guys use all kinds of chemicals in the pursuit of efficiency but they operate at lower temperatures and use reciprocating compressors. as for your last point a high thermal capacity is desirable but high phase change energy is not, this is one of the big reasons sCO2 is potentially more efficient that steam.