For example i have an exhaust pipe with very hot air from burning biofuel, and i have a turbine at the end of the exhaust that rotates and generates electricity.
Why is it more efficient to use the heat to boil water then use the steam produced to rotate the turbines? As in why is more electricity generated by using steam to rotate the turbines as opposed to not using steam when burning the same amount of biofuel?
The main reason is that a turbine requires a pressure drop to extract energy from the working fluid. The drop in temperature that is observed in a turbine is a result of the expansion of the fluid; the turbine doesn't have a way to extract the heat energy directly from the fluid.
The total work done by the fluid is typically expressed as a change in enthalpy, which is the sum of internal energy (heat) and work done by expansion (pressure drop): $\Delta H = \Delta U + \Delta (PV)$. If the exhaust pressure of your combustor is not much higher than ambient pressure, then there won't be much of a pressure drop across the turbine and hence not much work will be done by the gas. The gas will exit the turbine at a relatively high temperature, indicating that it still has a lot of energy that wasn't extracted by the turbine.
The solution to capturing this wasted energy is to instead take some of that heat energy and convert it to pressure energy by boiling water - now you have a high-pressure working fluid that's much more useful for driving a turbine. The turbine is now able to extract much more of the original heat energy in the form of pressure, hence higher efficiency.
Heating water to make steam is not necessarily more efficient, but a lot more practical. What you describe is how internal combustion engines work, for example, so it's a valid concept. However, they do this in bursts and use liquid and carefully engineered fuel, which makes the implementation more practical.
In a continuous system as you describe, the fuel is burned at high pressure. Consider the mechanical difficulty of adding more fuel into the system while sealing against that pressure. You also have to get the unburnt waste out somehow.
While basic physics does not prevent what you describe, practical engineering does. It's simpler to burn the fuel at ambient pressure, and use the heat to make high pressure inside a specially designed pressure vessel. Put another way, it's a lot easier to get heat across a pressure seal than solids with somewhat unpredictable shapes and sizes.
You are almost describing a gas turbine engine. These are used to generate electrical power, and also to power aircraft. But, in a gas turbine the output of the combustor is at high pressure, and that is used to turn a turbine. And, that is a different combustion cycle from a steam cycle.
You are comparing an internal combustions engine with an external combustion engine. Both have benefits and tradeoffs. Practical efficiencies are limited by the basic engine design and the materials of construction. You are describing a gas turbine exhaust driven turbine which has a high power to weight ratio which is good for airplanes, but is maintenance intensive. External combustion in a boiler to feed a steam plant is much more reliable but requires heavy machines which is fine for a base loaded electrical power generation plant - in that case you want reliability and the easy ability to scale up power production by burning more fuel as the base load changes.
A two phase chemistry that makes pressure using heat is necessary.
A pressure cooker with only air makes a lot less pressure than with a liter of water.
The water is in effect potential pressure stored in a cold state.
Supercritical fluids are actually more efficient than steam but require higher pressure vessels, and a lot of ice CO2. and other exotic substances.
