Immune Mediated Diseases
Not only do steroids increase the production of sebum, but they also increase the immune system's response to any sort of traditional "acne-like" disturbance.
Steroids don't just increase your red blood cells, they also increase your white blood cells. And hell, puss largely consists of dead white blood cells.
Often steroids are considered good for your immune system because of their immune action, yet this often leads to an over-aggressive system that responds inappropriately to the situation (inappropriate relative to the overall value that you have for your skin).
Now you could either deal with the sebum, or you could deal with the bacteria that thrive within the sebum.
But for some people, none of these avail, as the immune system is poised to go ape$h!t over the smallest disturbance that it perceives within it's codex.
There is often a need to manipulate and modulate the immune system in these matters. You should be able to shift the type of immune response followed by an attenuation of such a response.
For future reference, dealing with the immune system is key for the healthy use of steroids.