User blog comment:IamJakuhoRaikoben/Chapter 459 & 460: Weakness & The Alighted Pegasus, Review./@comment-4999650-20151031195501

Well, Juvia's body is made of water so the steam burning her was just a way to go around her invulnerability to physical attacks, it may not necessary be a specific weakness of hers. As you've said, we've seen her turn into steam lol xD