I think steam is historically and presently used because a) water's abundant and cheap/free b) steam is non-toxic c) water has a high heat of vaporization
1 and d) water has a high expansion potential
1.
Chemicals must be procured in some manner, usually by means of chemical reactions and processing. This requires energy and money, which partially accounts for the seemingly free energy from chemicals, not to mention the first law of thermodynamics.
For example, If you want to make a lead acid battery you must mine the lead, process it, refine it, transport it, and thermally or chemically calibrate it for your use. Chemicals don't grow on trees ya know.

Also, what byproducts would result? What chemicals are to be used?
Nonetheless, your question about why we don't have a better method of power generation is a good one. I certainly don't think we're anywhere near the end of the line and I look forward to breakthroughs that might occur in our lifetimes. One problem with original innovation is that it's not obvious. It is sure to come about in an Archimedian-type manner. Eureka!
Though, imho, we will not see any massive/revolutionary changes in the modes of power generation. It will always involve one or more of the forces of nature: earth, water, wind, fire, and gravity. Perhaps the key is to use all of these at once...
