Given this answer, I understand the importance of phase change (liquid --> gas) for the fluid used in a steam engine. Thus I understand it is important to use a fluid that is liquid at pressure and temperature this engine may work in (between 600 and 1000hPa, between -20°C and 50°C (I may take large margin for extreme climate condition including high altitude mountains)). Thus, we may use any fluid that is liquid in this condition and easy to boil (I'm thinking of ethanol that has a lower boiling point but other fluids may be suited).
My question is: why water and not other fluids such as ethanol?
Edit: I cite ethanol but I don't want the answer to be focused on this fluid in particular. It can be any fluid that is liquid in normal temperature and pressure condition and easy to boil. I have no idea what fluid can meet this requirement.