Railways move far greater tonnage than even a fleet of steam lorries justifying the expenditure. You're not going to put these up one every road the lorries could possibly take. Basically as SR noted you are restricted to an out and back operation. See attached document:
"The steam waggon paid best on long journeys of say 20 miles out and 20 miles back home with
loads both ways. The waggon could work a 40 or 50 mile day and be ready for a repeat journey the next
day. Horses could not stand this. In rush hours waggons could cope with the extra work whereas horses
would be working near their limit and could not do more. In terms of ton-miles, the waggon working rate
was reckoned to be 1 1/4 old pence per ton-mile as against 2 3/4 old pence per ton-mile for horses. This latter
figure is considered to be very low, horse costs were often 4 to 6 old pence per ton-mile (ref. 1). However,
reference 14 (a Brewer's working with three to four Sentinel waggons) quotes a figure of 2.6 old pence per
ton-mile and average annual running cost of a waggon at £400 to £430.
Note that is from 1912. The S version of the Sentinel waggon introduced in 1934 was much more sophisticated and would have a greater range for the same expenditure of coal. I was surprised to find that it was a water tube boiler with a superheated and a feedwater heater!
The Sentinel in its final form is an amazing tribute to the perseverance of the British in wringing the last drop of performance out of a technology that was obviously on the way out. Sentinel's main rival Foden saw the writing on the wall and abandoned steam in favor of Gardner diesels in 1931 prodding Britain first commercial successful lorry.
I can't imagine any other country devoting the effort although.