The shiny appearance is due to the smooth surface. The steam treatment oxidizes the surface, filling in the pores and surface irregularities with iron oxide. The formation of the iron oxide is a growth process, with the speed controlled by the kinetics of oxidation from exposure to high temperature steam; the result is a smooth surface. It is actually a black surface, but since it is so smooth, it appears shiny.
The only thing I would add to redpicker's description is that some some PM parts are pressed then sintered, while others are pressed, sintered, then re-pressed (coined, calibrated, etc.). The latter process results in smoother surfaces, which are quite shiny after steam treating relative to just press & sinter.
